Trading Strategies Based On Digital Filters - page 36
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
Thank you very much Simba! What are the two curves on the price chart? Are they digital filters or the moving averages of Hurst?
Displaced smas..Hurst method was to use them ,plus trendline crossing(I don`t know if he explained it in his book,but he explained it in his course)...I personally require a close above/below the trendline to trigger an entry.
Problem with displaced smas is that they are always half cycle length back..so you have to estimate the crossing...stlm2 is low delay,or low lag,so you can use it with trendlines easily..see a more recent example...of the same gj monthly chart..10 years difference and still works.
EDIT:Forgot to add..1-you need at least 2 consecutive red or blue stlm2 bars in your direction,first bar is dangerous..and 2-if you trade lower tfs,h1 or below use previous swingh high or swing low as SL...if you trade higher ones ..use either a close back above/below trendline(in your entry tf)..or a breakout/breakdown of the bar that closed the trendline and triggered the entry...
Hi Simba,
Thank you very much for your help. That's a great idea to add trend line break for entry. My problem with Hurst technic is when the prices a going in one direction for a long time and it is hard to know where the MAs are crossing each other.
I'll try to use it again :-):-):-)
My problem with Hurst technic is when the prices a going in one direction for a long time and it is hard to know where the MAs are crossing each other.
In this case, open the Data window and follow each value.
Hope that helps.
FerruFx
no longer relevant
FYI:
Some Hurst indicators on this post: https://www.forex-tsd.com/forum/debates-discussions/116-something-interesting-please-post-here/page42#comment_320912
spectrum analyzer
I'm quite new to this thread and using of digital filters generator program and I have a basic question, hopefully somebody can help me.
I installed Digital filters generator program from downaload section, then i exported .csv data from metatrader. Opening this file by digital generator program is not a problem but when I try to open by spectrum analyzer it fails
complaining about wrong format. Any idea how to overcome this ??
Krzysztof
I'm quite new to this thread and using of digital filters generator program and I have a basic question, hopefully somebody can help me.
I installed Digital filters generator program from downaload section, then i exported .csv data from metatrader. Opening this file by digital generator program is not a problem but when I try to open by spectrum analyzer it fails
complaining about wrong format. Any idea how to overcome this ??
KrzysztofI recommend everybody to use HST data directly from MT4.
Help needed for sample code needed to make EA
I would like to begin a cycle of articles about time series analysis. If anyone is interested, I will continue and complicate the material.
In my opinion spectroanalysis usage for currency quotations without preliminary extracts preparation is incorrect. Taking into account that the research of some quotations shows that we deal with non-stationary time series , and spectroanalysis methods are suitable only for stationary time series we shall make a spectoanalysis of daytime quotations gbpjpy, all extracts and half of extracts as we see from pictures spectrum of quotations “vary”.
pic.1 GBP/JPY D1 full time series
pic.2 GBP/JPY D1 half time series
In mathematic statistics for transition from non-stationary process to stationary different transformations are used. Their essence consists in the following. Let’s assume that there is a row R0 = {R0.1, R0.2, …, R0.n} then differential transformation of 1-st order from R0 will be number R1 = {R1.1, R1.2, …, R1.n-1}, where R1.i = R0.(i+1)-R0.i . As a matter of fact, the sequence received by the following way, is a number of increments of initial process.
Let's make spectroanalysis for the received sequence. Also as well as in an example for regular extracts we shall take half of artificial extracts and all artificial extracts.
pic.3 GBP/JPY D1 artificial time series
The figure shows the following peaks: 106, 63, 48, 38, 33, 27 .....
You can use this peaks for EA development. We may have good results if we put filters on the received frequenecies. My result:
Period Daily (D1) 2000.06.29 - 2008.02.27
Initial deposit 10000.00
Total net profit 106100.66
Maximal drawdown 16.44%
Can someone provide example MT4 code on how the peaks can be made into Expert Advisor ?
Can someone provide example MT4 code on how the peaks can be made into Expert Advisor ?
You need to Digital Filter Generator software: https://www.mql5.com/en/forum/172930
accuracy/negative test of digital filters system
It was very interesting to follow this thread from the beginning till end. DF generator program together with MESA SA build in, some articles showing that is works etc, etc. But during the reading, perhaps because of my proffesion, (for several years I was testing, finding and fixing faults in
large telecom software systems), my thought was: Where is the proper test of this system ?
It can not be done on FOREX data as this data has unkown structure which this system should find. It must be done on fictious data with known structure to discover this structure first.
Than when I reached the end of thread I asked SIMBA for conclusions but no answer somehow
https://www.mql5.com/en/forum/175938/page21
than I decided to make test myself.
For this I generated following fictious data (attached .hst files) and transferred it to MT.
GOLD240- 300 bars of gauss noise smothed with 15SMA + 300bars of 0501sincos signal with gauss noise sm with 15SMA
GOLD60 - 600 bars of gauss noise smothed with 15SMA
GOLD30 - 600 bars of 0501sincos signal with gauss noise sm with 15SMA
GOLD15 - 600 bars of 0.5HZ sin + 0.1HZ cos signal
GOLD5 - 600 bars of 0501sincos signal with gauss noise
GOLD1 - 600 bars of gauss noise
Than I applied build MESA SSA from DFG program first as it is input for generating DF, I knew what I should get. I did this test for 200, 400 and 600 bars. Later on I did those tests for SA from MTM toolkit with GRACE.
Unfortunatelly results were not astonishing.
GOLD15 main signal sin 0.5HZ + cos 0.1HZ -- SA didn't find slower frequency for 600 bars but it foud both frequencies for 200 and 400 bars
GOLD30 - main signal with smoothed noise It created two clear peaks for 600bars but for 400 and 200 bars it started to show additional peaks so it lost resolution significantly.
GOLD60 gauss noise smothed - disaster !!! shows different peaks with variable amplitude depend of number of bars. Less bars ==> higher peaks.....
GOLD240 - mixed signal, first noise than signal + noise. Next disaster, different peaks dependent of number of bars.
CONCLUSIONS.
SA only recognised clear signal (GOLD15) even in this case failed once for 600bars !!!!. It lost resolution very fast for signal with noise and for clear noise and mixed signal it has shown faulty peaks. So this system can only be used for a data series when we are sure that they are not mixed with random data and S/N ratio is high enough. See pictures below. I hope those test will help you.
Krzysztof