Trading Strategies Based On Digital Filters - page 50
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Hi Krzysztof,
I understand why you were skeptical. You don't know me and there are so many lamers out there...
By the way, as I already said, I always like to look under the hood. That's why I decided to implement MESA instead of using a third party software. That's why I have my own FFT library (which is faster and more reliable respect to the one I found some months ago for metatrader) as well as my digital filter libraries (for metatrader too).
I decided to go metatrader because I'm comfortable with it and the porting of available algorhithms is quite easy. Also, I dont want to get stuck in painful integration issues (like the ones with neuroshell, or with matlab and so on).
Now, I'm pretty sure that the MESA library I have published is free from important bugs and I would like it to be used by the forumers to get into MESA verification for forex time series. I would like not to dismiss MESA because of a bad implementation or bad use (e.g. without reportedly "very important" detrending and denoising).
So I have modified my indicator R-MESA_instant spectrum.mq4 (v.1.2, here attached) to take noise into account (for now it doesn't have detrending).
Every body now can try MESA spectral analyser from the chart he is viewing with metatrader with a pre-processing of the time series ( OHLC and median) by some filters available (kalman, JMA, nonLagMA, SMA, etc). It is also possible to add a sinusoidal signal of given amplitude and frequency.
I have added to the same indicator the print of first "n" peaks and valleys.
I have already done some tests (which I will post later).
One of the nice things with MESA is that you can have the resolution you want. So you can "zoom" in an band of interest (that's what I have done and I will show you, if anybody is interested of course)
See you soon ;-)
PS - I will try your datasets on GOLD soonDid you incorporate all of the ATCF signals? I found a couple to be very vague. There are a couple though that are winners.
KALMAN filtering
Here is a Kalman filter together with a few PDFs and MT4 indicator. Don't ask me for source i simply don't have it. Kalman can be used for noise dedection and reduction. If anybody has expirience in using Kalman please post it.
Krzysztof
Hi Krzysztof,
I have played a bit with your chirp signal.
First of all I have focused on reproducing the graph on #476.
The shape is the same as the one you posted but the values of the small peaks are slightly different (maybe it is a different order of autocorrelation, I have used 150)
But the fact is that none of the peaks are meaningful, because the signal you posted has a decaying period of more than 200 while the software only shows 150 at max.
So, extending the max period to 300 (the second picture) a meaningful peak at 245.91 is shown. It is not a sharp peak because the signal period is changing from the beginning to the end. Here we have that an amount of the 150 poles are near 245, meaning that this is the period around wich most of spectrum power is condensed.
Interestingly, if you analyze the chirp signal with the indicator I posted in #490, you can see how the main peak evolves as the signal goes ahead.
In the last 1400 bars (1000 are shown + 400 is the analysis window) there is a maximum of around 266 and a minimum of around 200 bar period. The trend is clearly visible.
But there is also an oscillation of around 30 points in the amplitude of signal's period with a period near to the period of the signal (sorry, it seems a tongue-twister).
I would like to guess why...but...tomorrow ;-)
trades on CHIRP
Hi,
Great that you test the pieces of the puzzle. Than look how CSSA performed
on CHIRP clean signal and with noise
T2W Day Trading & Forex Forums
post 202
and this
T2W Day Trading & Forex Forums
post 217
Initally get a bit crazy but NOXA managed to clean 'crazy trades'. That's very good performance as this signal has no spectrum. I can generate CHIRP with noise for you also to check reactions but you can also check on stationary files with noise - GOLD5 i think.
Anyway I think it will be very difficult to generated better trades using MESA
on CHIRP or noisy CHIRP but advantage of your system is adaptiveness to market conditions change, CSSA is not adaptive at all.
I believe the best result we can get using hybrid system adaptive + 'curve
fitter' like NOXA to turn 'curve fitter' off when market is changing and maybe switch to another tuned 'curve fitter'. So it is like using 'filter bank'
I think a few competent people is working in this direction so i'm sure we will get good results.
Krzysztof
Thank you f_f_l for you words, I really appreciate.
I know that we all are striving for the ultimate goal, that is to have a tool to make money, but I ultimately think that it is NOT possible to have a blackbox filling your bank account while you are on the beach.
So, what is mandatory is to know what the box is doing. Better if you have built it on your own, or with some colleagues.
It is hard to build something from scratch, it's much easier to "try and buy", but I am almost sure that it is not the right way. So what I, and probably "we all", need is passion and intellectual stimulus.
Thats the main reason why I am publishing my work: to contribute and to revive the passion that animated this thread.
And your words, f_f_l, are exactly those that are needed.
I attach an indicator that will be used in adaptive fatl-satl indicator (and others). This one extracts the cutoff frequencies (P1 and D1) to be used by adaptive digital filters, bar by bar. It uses the same R-MESA library as the others.
Good nightPlease excuse my delayed response. Been away @ job training the past few days.
Richcap,
I was simply being honest.
I don't think the blackbox theory is very efficient or effective. I prefer the clear equivalent i.e. transparent.
I do, however, believe that certain aspects of one's methods can be automated to alleviate some of the workload required to keep an edge i.e. the optimization process.
I've done light testing (never believed in commercial e.a.'s or manual setups for that matter) and seen extensive testing results from others to support that belief that store bought methods can't be depended upon to become personal ATM's, as they are so commonly describe by their sellers. IMHO, the collaboration of a few bright and aspiring individuals can definitely devise a custom setup that yields consistent and realistic above average returns.
I'm not sure how to apply what you've posted. Willing to learn, though. I will say that I have a laymen's understanding of what's going on, though nowhere near the level of what you and the other posters display. Please just be patient w/ me.
Thanks again,
F_F_L
P.S.
You didn't reply to the my suggestion of taking a look @ Goertzel. Does this mean you wasn't interested or took a look and didn't feel it provide you the solution for which you are searching? No offense taken if it was either of those reasons or any other. Just curious......
Did you incorporate all of the ATCF signals? I found a couple to be very vague. There are a couple though that are winners.
Hi clahn,
I have built adaptive FATL,SATL,FTLM,STLM,PCCI and RBCI.
You can set the amount of bars after which they are adapted to the new spectrum and, of course, all the parameters you can see in R-MESA-Cutoff_frequency indicator I have posted (which is used in each of the above).
The main problem (apart from finding the right settings for MESA analysis) is that as you change the filter, you have a discontinuity in the filtered signal.
So I have included an option to "join" the old and the new filtered signal if someone wants to trade with the slope of indicators.
Please excuse my delayed response. Been away @ job training the past few days.
Richcap,
I was simply being honest.
I don't think the blackbox theory is very efficient or effective. I prefer the clear equivalent i.e. transparent.
I do, however, believe that certain aspects of one's methods can be automated to alleviate some of the workload required to keep an edge i.e. the optimization process.
I've done light testing (never believed in commercial e.a.'s or manual setups for that matter) and seen extensive testing results from others to support that belief that store bought methods can't be depended upon to become personal ATM's, as they are so commonly describe by their sellers. IMHO, the collaboration of a few bright and aspiring individuals can definitely devise a custom setup that yields consistent and realistic above average returns.
I'm not sure how to apply what you've posted. Willing to learn, though. I will say that I have a laymen's understanding of what's going on, though nowhere near the level of what you and the other posters display. Please just be patient w/ me.
Thanks again,
F_F_L
P.S.
You didn't reply to the my suggestion of taking a look @ Goertzel. Does this mean you wasn't interested or took a look and didn't feel it provide you the solution for which you are searching? No offense taken if it was either of those reasons or any other. Just curious......Hi ffl,
I'm very interested in Goertzel. I have grabbed the indicator but I have only taken a quick look at it. As all theese are spectral estimators, I think that it makes sense to use just more than one in parallel to have the best assessment of what the real spectrum is and, more importantly, how the spectrum changes over time. Of course it is mandatory to know exactly how to use them.
That's the sense of the tests that Krzysztof proposed.
Hi,
Great that you test the pieces of the puzzle. Than look how CSSA performed
on CHIRP clean signal and with noise
T2W Day Trading & Forex Forums
post 202
and this
T2W Day Trading & Forex Forums
post 217
Initally get a bit crazy but NOXA managed to clean 'crazy trades'. That's very good performance as this signal has no spectrum.
Quite impressive
I will do it asap,
bye
Hi clahn,
I have built adaptive FATL,SATL,FTLM,STLM,PCCI and RBCI.
You can set the amount of bars after which they are adapted to the new spectrum and, of course, all the parameters you can see in R-MESA-Cutoff_frequency indicator I have posted (which is used in each of the above).
The main problem (apart from finding the right settings for MESA analysis) is that as you change the filter, you have a discontinuity in the filtered signal.
So I have included an option to "join" the old and the new filtered signal if someone wants to trade with the slope of indicators.That sounds interesting. Where is this indiator located?
cl