Trading Strategies Based On Digital Filters - page 138

Sergey Golubev
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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
124460
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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Sergey Golubev
Moderator
124460
Sergey Golubev  

New good indicators was coded for Metatrader 5 (this indicator is very well-known for MT4 for example) - 

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Digital filters - separate - indicator for MetaTrader 5

Supported types are:

  • FTLM - Fast Trend Momentum.
  • STLM - Slow Trend Momentum.
  • RBCI - Range Bound Channel Index.
  • PCCI - Perfect Commodity Channel Index.
Sergey Golubev
Moderator
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Sergey Golubev  

Forum on trading, automated trading systems and testing trading strategies

Trading Strategies Based On Digital Filters

Sergey Golubev, 2017.03.28 15:46

PRACTICAL IMPLEMENTATION OF DIGITAL FILTERS IN MQL5 FOR BEGINNERS


"So, in my previous article I've made a code analysis of simple indicator and slightly covered the interaction of this indicator with MetaTrader 5 Client Terminal. Now, before we go any further, we should take a closer look at the results of expert compilation in "Errors" tab of "Toolbox" window in MetaEditor. From here you can begin further study of SMA indicator's code, that I had proposed earlier."


Sergey Golubev
Moderator
124460
Sergey Golubev  

Figure - indicator for MetaTrader 5 

Figure - indicator for MetaTrader 5

This is 3-in-1 indicator: FATL, RSTL and RFTL (3 lines on the main chart). 

Figure - indicator for MetaTrader 5

Figure - indicator for MetaTrader 5

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.

Template file is attached.
Files:
figure.tpl  4 kb
Sergey Golubev
Moderator
124460
Sergey Golubev  

Fir filters - indicator for MetaTrader 5

Some of the digital filters in one place : 

  • Hanning
  • Hamming
  • Blackman
  • Blackman / Harris

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Hann filter - indicator for MetaTrader 5

This is a variation of a digital filter using Hann windowing for filtering

  • with "speed up" factor set to 0, it is the same as original filter
  • any speed up factor > 0 makes it a bit more responsive 

Fir filters
Fir filters
  • www.mql5.com
Fir filters
Daniel Cioca
347
Daniel Cioca  
What about for MT4?!