Trading Strategies Based On Digital Filters - page 42
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Evaluation of Fractal/Hurst related indicators with GA
Here is the evaluation results for Fractal and Hurst related indicators. I chosen MACD strategy and added all fractal indicators,Entropy indicator and Ehler S/N indicator than optimized it with genetic algorithm to find out the significiance of those indicators in comparision with MACD indicators. Here are the results. I've done it for EURUSD, clean signal (GOLD15) and gauss noise (GOLD1)
Krzysztof
for clean signal (GOLD15)
Entropy started to have higher significiance for clean signal
and for GAUSS noise (GOLD1)
Significance of Entropy back to normal i.e. around 0. like for EURUSD.
conclusion
All Fractal/Hurst related indicators does not have any significance in comparision with MACD indicators, surprisingly Ehler S/N ratio and Entropy
also, at least in form which I have them from Neuroshell advanced indicators set, at least genetic algorithm does not chose them. So I think it will be difficult to make money on them in trading.
Krzysztof
This is what Investopedia says about rescaled-range analysis techniques: Rescaled Range Analysis
A statistical analysis of a time-series of financial data that attempts to find patterns that might repeat in the future. While rescaled-range analysis techniques have proved useful in other mathematical endeavors, the evidence for its use in analyzing financial data remains somewhat unproven.
Fractal
Yes, this fractal/Hurst business is really 'fuzzy'. However according to this guy
John Conover: Home
and his analysis (see fractal book at his page, too big to download here) Hurst exponent works for financial series. It's pretty deep analysis there. If you want you can dig a bit in this, I'm evaluating John Ehlers strategy now (Hilbert transform, S/N ratio etc) but so far only 20% hit winners trades out of sample...not good prognosis.
Krzysztof
to Simba and Mistified.
I've sent you a priv message.
regards, Krzysztof
Thank you Krzysztof .
I've sent you a priv message. regards, Krzysztof
Thanks Krzysztof
Simba
Multiscale analysis
Very interesting concept of noise filtering using multiscale analysis
http://www.multiresolution.com/cupbook.pdf
MR Software
It can can be pretty easily implemented in NS using indicator wizard, it has a Wavelet and Principal Components implemented as an indicators.
Krzysztof