Trading Strategies Based On Digital Filters - page 52

[krzysiaczek99]

CSSA and SSA

dvarrin:
Hi,

I was trying to create some cycle indicators using DFM, but sometime the cycles are completely wrong and I'm changing the parameters P1, D1, P2 and D2 only a few.

For example, if I use P1=90, D1=73, P2=100 and D2=138 (peak at 95 for EURUSD 4H) I'm getting very different results than if I'm using P1=87, D1=73, P2=102 and D2=138.

I'm only changing a bit P1 and P2, but the result is not the same at all.

About CSSA, what is it exactly? Is there some indicator or tool for MQ4?

I've downloaded the SSA.mq4 and SSA_normalize.mq4, but it does not work.

CSSA it is casual version of SSA, It's hybrid product - recurreent Neural Nets+SSA plus a few other things, internal data type is variance. It works for Neuroshell and Metastock not MT4

Krzysztof

[richcap]

fajst_k:
Hi,

Yes, Codebreaker thread is very interesting. However as a lot of FOREX threads it's lacking of practical information confirmed by statistics, a lot of theories but not so much verification in simulated or real trading or it is not published.

Regarding your system based on MESA so actually what do you expect from members ? You gave a code but I believe it would be much usefull to have block diagram of this system together with parameters and trade statistic otherwise is difficult to discuss. That of course if you want to keep it public

publish thing like this otherwise is difficult to go forward.

I've seen one post from you with MESA cycles in real time. Than a question.

Do you make a Bartel tests to verify which cycle is valid ??

Than do you build combined cycle and how ??

If you are interested I post the latest code for S/N meter using John Ehlers method, than it can maybe improve your system.

I posted also non-stationary chirp signal. Is your system able to make money on it ??

Krzysztof

You're right Krzysztof,

I have published only the digital filter (FIR, linear phase) I use in my system, not the system itself.

To be honest, I'm trying to understand whether it is worth publishing the whole thing. I like the idea of clever guys stress-testing my system and improving it. I don't like very much the idea of putting online some hundreds (or maybe thousands) line of code that no one will never look at.

I would like to share:

a) my MESA library for metatrader

b) my MESA indicator that plots in a separate chart the cutoff frequencies to be used as input for the creation of the adaptive FATL-SATL (and others), bar by bar. This could be enough to start testing and investigating how main frequencies found by MESA vary in the time domain, bar after bar. I mean, 2 are the lines of investigation: 1) about MESA reliability and 2) about dominant cycle change in the time domain (which seems to me too much fast for a profitable use for trading)

c) finally, my adaptive FATL-SATL and other indicators based on the above

d) the Expert advisors I have written to implemente ACTF strategy (which is the weakest part of all my work)

I attach hereafter my mesa library (R-MESA.mq4) that must be installed in experts->libraries, and the two indicators you can see published at #464

Please note that the label "R-MESA" has nothing to do with R-Mesa automatic trading from mesasoftware.

Edit - to avoid mistakes, I have removed the two indicators and merged them into a single indicator posted in post #491.

[richcap]

Hi all,

here is the R-FATL-SATL-Adaptive indicator I have promised to clahn ;-)

I packaged the complete indicator+needed libraries , although the most part was already published.

If you install the indicators and the libraries, you only need to drop R-FATL-SATL-Adaptive.mq4 on the chart and start playing with it.

The default settings are:

degree: 150 - order of autocorrelation

length: 200 - length of analyzed data series

max_period: 140 - max cutoff period for satl

min_period: 20 - min cutoff period for fatl

satl_min_period: 60 - min cutoff period for satl

initial_time:'1970.01.01 00:00' - start plotting from date ...

filterPersistenceBars:100 - adapt every 100 bars

backwardBars:0 - start plotting from bar 0

rectify:false - do not join curves

Please note that you have to set either 'initial_time' or 'backwardBars' to get the indicator draw something (in the past) otherwise it will start drawing from current bar

[clahn04]

Looks interesting. I'm always interested in "Adaptive" ways of trading.

Thanks,

cl

richcap:
Hi all,

here is the R-FATL-SATL-Adaptive indicator I have promised to clahn ;-)

I packaged the complete indicator+needed libraries , although the most part was already published.

If you install the indicators and the libraries, you only need to drop R-FATL-SATL-Adaptive.mq4 on the chart and start playing with it.

The default settings are:

degree: 150 - order of autocorrelation

length: 200 - length of analyzed data series

max_period: 140 - max cutoff period for satl

min_period: 20 - min cutoff period for fatl

satl_min_period: 60 - min cutoff period for satl

initial_time:'1970.01.01 00:00' - start plotting from date ...

filterPersistenceBars:100 - adapt every 100 bars

backwardBars:0 - start plotting from bar 0

rectify:false - do not join curves

Please note that you have to set either 'initial_time' or 'backwardBars' to get the indicator draw something (in the past) otherwise it will start drawing from current bar

[forex_for_life]

richcap:
Hi all,

here is the R-FATL-SATL-Adaptive indicator I have promised to clahn ;-)

I packaged the complete indicator+needed libraries , although the most part was already published.

If you install the indicators and the libraries, you only need to drop R-FATL-SATL-Adaptive.mq4 on the chart and start playing with it.

The default settings are:

degree: 150 - order of autocorrelation

length: 200 - length of analyzed data series

max_period: 140 - max cutoff period for satl

min_period: 20 - min cutoff period for fatl

satl_min_period: 60 - min cutoff period for satl

initial_time:'1970.01.01 00:00' - start plotting from date ...

filterPersistenceBars:100 - adapt every 100 bars

backwardBars:0 - start plotting from bar 0

rectify:false - do not join curves

Please note that you have to set either 'initial_time' or 'backwardBars' to get the indicator draw something (in the past) otherwise it will start drawing from current bar

Thanks for sharing, richcap. Will have a go @ it one of these days. Still doing job training then got an 8 day stretch til my next day off......

[richcap]

And here is the R-FTLM-STLM-Adaptive indicator built on the previous one (same parameters)

[dvarrin]

fajst_k:
CSSA it is casual version of SSA, It's hybrid product - recurreent Neural Nets+SSA plus a few other things, internal data type is variance. It works for Neuroshell and Metastock not MT4 Krzysztof

Thank you fajst_k. I've another question too. I've been trying the Goerzel indicator, But how do we use it? I thought Maxper is to define the maximum period we want to find, but if I use 200 and then 300, the curve is 2 and 200 is completely different. So which value should we use for MaxPer?

Simba? Are you still around? When I create a cycle indicator, I've noticed that sometime it is moving according to the price and sometime it is moving in the opposite direction. What happens exactly? Is there a way to determine if it will move with the price or not?

[Mihail Yanakiev]

Hello everybody.

Excuse me for my poor English.

First of all , lets somebody tell me which program is best for Spectral Analysis?

I make it with free program"Digital Filters Methods" ,

then , i try pay program "Spectral Analyzer" see pictures bellow.

How you see analisys is different and i dont know who is right?

Please see differrents on 2 pictures make it with "Spectral Analyzer" , i only change correlation matrix button (mark with black pen) , and view how is different anallysis.

So , lets people with more experience let me know how to make spectral analisys and which program is best.

And seccond , when we see spectral analysys , how we have to make "perfect cycle indicator" with free program"Digital Filters Methods", How to understand who is large cycle?

Who is best settings to P1 , D1 , P2 , D2?

I try to make this indicator with Simba method on post 253.

I put for P1-74 , P2-76 (to isolate Peak 75) and D1-57 , D2-96(bottoms) , so a get some indicator , when i change D1 and D2 , with little differents nummbers D1-56 , and D2-97 , i make absolutelly different indicator , so i thing this is not right method to make "perfect cycle indicator"

Thank you for help.

[krzysiaczek99]

Goertzel

Hi,

I believe you talk about Goertzel V1 written by Jojolapin.

3*Maxper is a size of the backward observation window. Goertzel is a kind of Fourier transform and it uses also backward windows with different shape like Hamming or Hann to avoid spectral leakage. In case of this indicator flattening

is used. So by changing this value you are changing window and it finds different curves. Additionally implementation is not complete there.

Krzysztof

[krzysiaczek99]

technology and money

richcap:
And here is the R-FTLM-STLM-Adaptive indicator built on the previous one (same parameters)

Hi,

So technology is here !!! Where is the money than because we are for it on this fourm

I include two noised chirps as a HST file. You can try your indicator on it.

Krzysztof