Trading Strategies Based On Digital Filters - page 43
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Thanks
This is a very interesting book!!! Thanks, but can you elaborate how to implement it on forex trading, and how to generate it into a system for trading?
yyc
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.
KrzysztofThanks for this great book
Multiresolution analysis implementation
Hi YYC196,
How to do it.
1) install Neuroshell and MT4 as a real data feed to have proper trading strategy design and verification envirnoment
http://www.investireoggi.it/forum/neuroshell-e-metatrader-ricominciamo-da-qui-vt32426.html
2) Install advanced indicators to have wavelets and PCA as an indicators
3) Based on the book and the source code from the MR site design
custom indicator using wavelets and PCA neuroshell indicators
4) Verify this indicator in testing strategy.
I post some info about NS on this thread
Neural Network Trading, Serious people only! - Page 7
Krzysztof
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
Krzysztof,
i tried the fft analysis in Digital filter methods v.54 on real data (200bars...60000bars,no peaks) and I cannot get well defined peaks around any frequency but DC, what gives?
Do i need to remove the mean or whats wrong?
Krzysztof,
i tried the fft analysis in Digital filter methods v.54 on real data (200bars...60000bars,no peaks) and I cannot get well defined peaks around any frequency but DC, what gives?
Do i need to remove the mean or whats wrong?I see peaks near 20 and 40.
Fft/mesa
Krzysztof,
i tried the fft analysis in Digital filter methods v.54 on real data (200bars...60000bars,no peaks) and I cannot get well defined peaks around any frequency but DC, what gives?
Do i need to remove the mean or whats wrong?Hi,
This is not FFT but MESA. See post 376-377 how those signals are looking,
You can download this tool Sigview and play a bit than you will see what does what.
Krzysztof
fajst_k,
Neuroshell is shit. I am sure you have discovered this yourself already, but I felt it necessary to point it out.
Why?
Neuroshell is very unstable. It can't handle a fair amount of tick data. It freezes. It is too much of a black box. You have to know more about what the nets are doing. I suggest you slowly write your own GA and NNs and understand their limitations and tweak them appropriately for trading purposes.
This is what I have concluded from extensive usage of Neuroshell.
Also, the contribution % you see on NS tell you little about the usefulness of an indicator. The relationship between # of times used and its contribution to results is unlikely to be linear, therefore it may be essential.
Ns
I have different opinion. Yes it freezes than reboot it, it saves a chart anyway, It can not handle a lot of tick data but who cares, reformat a chart and it's ok.
Regading GA. It's a black box, but method of evaluation usability of different indicators for NN it's not my idea, i fetched it from one Phd thesis about usage NN in stock market and is a common method.
The biggest advantage of NS is than you can evaluate and build trading strategy very fast, much faster than using MT4 and you can use a lot of types NN which are produced already as an indicators or build own ones using neuroshell 2.
Advanced Neural Network and Genetic Algorithm Software
Advanced Neural Network Software for Financial Forecasting and Stock Prediction
And of course you can use it in real time trading using MT4 as a data feed.
The most advanced indicators are available for NS by never for MT4
(NOXA, JURIK, MESA8 etc.)
Krzysztof
And,if we add the STLM2,it looks even more interesting..looks like today we could look for a good sell spot...of course in demo,do not try it at home
Since this is probably something new to most of you,and having being a newbie myself,I can imagine some of you rushing to short the cable and phoning your friendly Ferrari dealership to ask for colour assortments and availability dates...DO NOT DO IT..you don`t know this technique,you don`t know its potential pitfalls..and,until you get more experience with this,on demo,you can not decide if this is worth including in your trading toolskit or not...
What I ,personally do with this info is first..checking the inmediately higher timeframe..h4..with a STLM2,which,lately has become my best friend in all matters trend related,specially in h4,since this tf ,usually, gives trends that last approx a trading week 4 to 6 days..and,surprise,surprise,looks like we are in a potential retracement during the beginning of an uptrend..so,the safest way to use these cycles,would be to wait for the completion of the retracement aka "when the blue and red turn up"in h4..and then look,with your usual trading strategies,for a good buy spot...
My personal conclusion is:
1-weekly trend is up and still young..as defined by stlm2 h4
2-We are in a potential retracement that will last,probably and judging by the average length of the cycles ,until Monday
3-There seems to be a good short opportunity,countertrend,in H1,NOT YET CONFIRMED BY PRICE ACTION..so high risk
Now I have 2 options in my trading menu:1-Either I trade both setups..or 2-I wait for Monday,recheck,and if everything still points to an uptrend and cycles look ok,I go long with my usual methods,looking for a buy spot at m5,m15.
So,these cycles and digital filters are not the magic Holy Grail,but they are interesting tools that can give us an edge.Hi Simba,
Is it explained somewhere how we can create the Cycle indicator shown in this post?
Hi all
Hi all,
I would like to thank newdigital and all the guys that have animated this thread in the last 3 years. I have read the whole thread some months ago and I'm so happy to see that it has returned back to activity in the last weeks thanks to fajst_k, dvarrin, simba and others.
I used to be a believer of DSP applied to forex trading and have developed a full ACTF solution for metatrader.
First I developed a digital filter, using known algorythms and open source 'C' code. So I it is not needed offline filter coefficent generation any more.
Then I developed a MESA spectrum analyser to extract significant frequencies and in the end I developed adaptive FATL-SATL, FTLM,STLM , PCCI and RBCI indicators for metatrader.
Sadly I was not able to develop any robust EA and I abandoned my research towards other approaches.
My suspect is that spectrum analisys failures, together with the ever changing nature of markets and some bad assumption about what "noise" is in maket price variations tend to invalidate this approach.
Nevertheless I still like it so much and I like the way simba, fajst_k, dvarrin treat this matter, too.
In the end, if some of you still thinks that some very good automatic trading system can be created from digital filtering, I would be pleased to share my code.
See you soon.
Riccardo