Forum on trading, automated trading systems and testing trading strategies
Trading Strategies Based On Digital Filters
Sergey Golubev, 2017.10.31 07:17
Good article was published -
Practical evaluation of the adaptive market following method
The trading strategy presented in this article was first described by Vladimir Kravchuk in the "Currency speculator" magazine in 2001 - 2002. The system is based on the use of digital filters and spectral estimation of discrete time series.
A live chart of quote changes may have an arbitrary form. In mathematics, such functions are called non-analytic. The famous Fourier theorem implies that any function on a finite time interval can be represented as an infinite sum of sinusoidal functions. Consequently, any time signals can be uniquely represented by frequency functions, which are called their frequency spectra.
For non-random signals, the transition from the time-domain to frequency-domain representation (i.e., calculation of the frequency spectrum) is performed using the Fourier transform. Random processes are represented by the process' power spectral density (PSD), which is a Fourier transform not of the random process itself, but that of its autocorrelation function.
It may be good filter -
Stochastic RSI - indicator for MetaTrader 5
In their 1994 book, "The New Technical Trader", Tushar S. Chande and Stanley Kroll explain that RSI can oscillate between 80 and 20 for extended periods without reaching extreme levels. Notice that 80 and 20 are used for overbought and oversold instead of the more traditional 70 and 30. Traders looking to enter a stock based on an overbought or oversold reading in RSI might find themselves continuously on the sidelines. Chande and Kroll developed Stochastic RSI to increase sensitivity and generate more overbought/oversold signals.
This version deviates from their description in the fact that it uses a sort of a signal line to make it even more sensitive.
Market Condition Evaluation based on standard indicators in Metatrader 5
Sergey Golubev, 2013.09.01 21:06
This my post? red dotted lines are for possible sell stop trade, blue dotted lines are are possible buy stop ...
Anyway - I just copied some latest summary from this thread :
Market Condition Evaluation
story/thread was started from here/different thread
more to follow ...
MA Channel Stochastic system is here.
Digital Filters (basic explanation)
Sergey Golubev, 2018.10.13 13:32
Multi pass average filter - indicator for MetaTrader 5
In theory almost everything average like can be a digital filter too (it is just a matter of finding corresponding coefficients - sma , for example, has all "1" for coefficients), but this indicator goes directly into that category even though it does not use coefficients in this version. Avoiding coefficients in this version was done for 2 main reasons : simplicity and efficiency of code. The basis of this is the good old simple moving average a bit differently calculated than the usual "sum them all and then divide" in order to avoid nxn complexity (which would significantly slow down your PC when this indicator works) and that is why it does not look like "classical" digital filters.
Sergey Golubev, 2018.11.30 16:06
This indicator can be used instead of TrendStrength indicator for Ichimoku scalping (and for any Ichimoku trading systems), and for AscTrend system as well - TrendStrength onchart indicator.
TrendStrength EMA variation - indicator for MetaTrader 5
"Trend strength" version of EMA variation (originally published here : EMA variation along with detailed explanation). In these cases trend strength is used more like a filter than anything else, but the original calculation is kept, and the logic is the original logic of the "trend strength" family of indicators.
This indicator is having interesting explanation which can be found here (the explanation is related to EMA variation part of the indicator, because TrendStrength part of this indicator is working as a normal TrendStrength (means: as a filter to estimate the market condition for possible buy/sell trades based on the 'EMA variation color change')
No idea about the best but there are some of them -
Sergey Golubev, 2018.10.28 10:41
Figure - indicator for MetaTrader 5
This is 3-in-1 indicator: FATL, RSTL and RFTL (3 lines on the main chart).
Three indicator buffers . Each buffer has its own calculation formula: 39 previous close prices are used for FATL, 99 for RSTL and 45 for RFTL. For each buffer, previous Close prices have their own factors. The coefficients themselves can be viewed in code.
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