Trading Strategies Based On Digital Filters - page 35
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More about SSA perhaps?
I have been running a demo account using the SSA DLL for around 4 weeks now.
The results I am publishing on
SM-forex.com
Strategy ZZGrid
I am trading the same system live in one of my accounts.
If there is anyone out there doing some work on SSA, I'd love to hear more from you - perhaps we can get this trading system even better than it is at present.
Well - just thought I'd ask...
I have been running a demo account using the SSA DLL for around 4 weeks now.
What is SSA DLL? Where can I find it?
As I know, SSA is Singular Spectrum Analysis. You analyze spectrum of currency and set params of digital filters on-the-fly?
Ssa
Hi,
I use the SSA dll from Gistatgroup and it seems to give me reasonable results.
As to how I have implemented my current system:
I take the input and pass it to the dll. I use only CP1 and, from this, I get the eigen values back. This eigen is actually a close approximation of current trend.
Next, I take the difference between this trendline and the input and pass this value to the dll again - on CP1 again. This eigen then becomes the trend deviation from the original trend. (Interestingly enough, this is also close to the Ehlers trendline - but in "real" time. In other words - this is close to the Ehlers dominant cycle.)
Then I take the offset between this and the input and pass it again - on this cycle I use only CP2. (Don't know exactly why but it seems to work - for now)
This provides me with the closest thing I can get to signal real time - this abitlity off the dll is to my advantage because I can directly compare it to input - in the case the signal is going down and input up I know things are out of phase (the previous pattern has been broken and we are establishing a new pattern.)
The dll also can provide a forecast so, in the case the actual signal is in line with the actual input it would be reasonable to assume the forecast would also be close to what may happen in the future so, I take the forecast as well.
Because actual turning points are very difficult to predict (both in price and time) I prefer to draw a LSMA around this signal AND forecast, meaning that (theorically) the LSMA should provide me with a real time corridor (all things working correctly, that is)
From here it is simple - I merely range trade within the corridor...
I have been trading on this idea live since about March - till now, I managed to double my account every month and for July I made 132% - till now.
However - it is not really possible to keep actual stats on live trading because I open/close trades manually in combination with the EA...
Which is why I am currently running the demo acc to get some "honest" stats about the EA's effiency.
Hope this may give you some ideas about what I do...
As an example - at this moment the GBPUSD look like this.
In this picture you can clearly see the signal (Magenta) as well as the forecast (blue/red)
In addition, I have the LSMA corridor (2 red lines)
However - in my experience price changes can dramatically effect these outputs (breakouts etc.) so, although this signal is almost perfect for trading in the range, it does not predict breakouts and so, for breakouts I use a combination of the calendar (foreknowledge about when a breakout may occur) as well as the exact same SSA approach - but, using a zigzag as input...
Hope this may make things more clear...
Hi jdpnz,
İs this the one you are using ?https://www.mql5.com/en/forum/178276/page21 İf so , I would appreciate if you can show how you set it up?Thanks in advance.
Hi jdpnz,
interesting theory , how to you get the data from metatrader into the SSA , took a look at the program today and it doesnt support the data format.
bubble
Indeed - you are correct.
In my own case, I wrote a simple linker DLL (in VB/VBAdvance) to link to the SSA library.
Incidentely, in my case, this linker also link the system to the wavelet package from Cornice research, the Juriks libs etc. (In fact, all my additional software that I bought over the years.)
This is because, in every case the process is the same really (Send data, do calc, send response back)
There is one problem I seem to be unable to resolve in MT4 namely, the inability to call a DLL from an expert.
So, for the time being I have the implementation in an indicator which simply write signals into the global memory.
This makes for easier expert development as well - in the expert, I can worry only about MM etc.
But, I need both the indicator and the expert on the chart for it to work.
This works fine - except that I still cannot run from the backtester because I really can't figure out where the backtester expects to find the library.
If anyone can give me some ideas in this regard I would really appreciate it.
Still - this setup works fine for me - in live trading, that is.
Hi jdpnz, İs this the one you are using ?https://www.mql5.com/en/forum/178276/page21 İf so , I would appreciate if you can show how you set it up?Thanks in advance.
I also downloaded that library yesterday - but must admit that, till now, I cannot make heads or tails from it.
I use the SSA from gistatgroup.com at present.
Incidentally - the realtime signal is the same as the catterpillar indicator somewhere on this site as well as the fullSSA indicator on this thread.
However - I suspect something may be wrong with the fullSSA because it really is very intense on system resources (lots of recursive calls)
The gistatgroup library also provides a forecast ability.
The idea is to get to realtime (eliminate lag) but, in most systems, the closer you get closer to realtime the more noise you have to deal with.
Because your eigen vectors (in SSA) is an attempt to seperate the input into different frequency waves, it should be (theoretically) possible to take out only the trend (for instance) and then forecast this back up to realtime. (eliminate the lag)
Perceived problem is that your indicator repaints - as indeed it does. However personally I think this is good because the SSA is really trying to adjust to the current price pattern (well, close to - depending on the CP's chosen)
As such, when the pattern changes, the SSA is indeed very quick (faster even than my neural nets - which I have been trading for years) to detect and react on this.
The only question then becomes - how to trade this, even when the price pattern change regularly?
Hi,
Anybody knows how to use filters for Hurst cycle trading. I know we have to use SATL and STLM, but what is the entry signal?
Daniel
2 arrows
Hi,
Anybody knows how to use filters for Hurst cycle trading. I know we have to use SATL and STLM, but what is the entry signal?
DanielEntry at close,stop above previous high/below previous low,target customizable...
Thank you very much Simba!
What are the two curves on the price chart? Are they digital filters or the moving averages of Hurst?