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Trading Strategies Based On Digital Filters - page 138

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Sergey Golubev
Moderator
101579
Sergey Golubev  

Good article was published - 

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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.

Sergey Golubev
Moderator
101579
Sergey Golubev  

Digital Filters' Trading Systems


The beginning

  1. Generator of filter's indicator for MT4 thread.
  2. Digital Filters (basic explanation) thread.
  3. (Digital) Filters indicators thread
    3.1 T3 Digitals indicators are on this post. These are using t3 smoothing, they are mtf, and have alerts, 1 has arrows, if you prefer no smoothing just turn t3 period to 1 or zero.
    3.2. T3 Dtm indicator is on this post. This is t3 dtm actually stlm and ftlm together they have mtf with alerts on slope change.
  4. Template with indicators - the post.
  5. Digital ASCTrend thread (Digital Filters with ASCTrend system combined).

After

  1. Trading Strategies Based On Digital Filters thread.
    1.1. T3Digital_Martingale EA (for MT4) is on this post and the trading results with the settings uploaded on this post. It is the first version of Digital Martingale: this EA is using some of the indicators posted a couple weeks ago, with the exception of normalized t3 rbci. The rbci was optimized so it being used in this Ea as a long term trend watcher, but it seems to work equally as well in hourly timeframe. This Ea version is using Satl,Fatl,Stlm, and the before mentioned rbci all indicators you have the ability to change timeframes as desired.

The Articles 

  1. Practical Implementation of Digital Filters in MQL5 for Beginners 
  2. Creating Non-Lagging Digital Filters

CodeBase

  1. The Moving Average Indicator, based on the Quasi-Digital Filter - indicator for MetaTrader 5
  2. Digital PCCI filter - indicator for MetaTrader 4
  3. Universal digital filter - indicator for MetaTrader 5
  4. FTLM-STLM - indicator for MetaTrader 5  
  5. AFIRMA - indicator for MetaTrader 5  
  6. JSatl - indicator for MetaTrader 5
  7. JFATL - indicator for MetaTrader 5
  8. FATL - indicator for MetaTrader 5
  9. RBCI - indicator for MetaTrader 5
  10. for more tools - use search.

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