Fast fourier transform channel

kidhudi
167
kidhudi  

does anyone know if an indicator like this exist in mt4?

kidhudi
167
kidhudi  

Can I find related information about Fast Fourier Transform? Please help.

Here is the related C code I found from internet.

/*

This computes an in-place complex-to-complex FFT

x and y are the real and imaginary arrays of 2^m points.

dir = 1 gives forward transform

dir = -1 gives reverse transform

*/

short FFT(short int dir,long m,double *x,double *y)

{

long n,i,i1,j,k,i2,l,l1,l2;

double c1,c2,tx,ty,t1,t2,u1,u2,z;

/* Calculate the number of points */

n = 1;

for (i=0;i n *= 2;

/* Do the bit reversal */

i2 = n >> 1;

j = 0;

for (i=0;i if (i < j) {

tx = x;

ty = y;

x = x[j];

y = y[j];

x[j] = tx;

y[j] = ty;

}

k = i2;

while (k <= j) {

j -= k;

k >>= 1;

}

j += k;

}

/* Compute the FFT */

c1 = -1.0;

c2 = 0.0;

l2 = 1;

for (l=0;l l1 = l2;

l2 <<= 1;

u1 = 1.0;

u2 = 0.0;

for (j=0;j for (i=j;i i1 = i + l1;

t1 = u1 * x - u2 * y;

t2 = u1 * y + u2 * x;

x = x - t1;

y = y - t2;

x += t1;

y += t2;

}

z = u1 * c1 - u2 * c2;

u2 = u1 * c2 + u2 * c1;

u1 = z;

}

c2 = sqrt((1.0 - c1) / 2.0);

if (dir == 1)

c2 = -c2;

c1 = sqrt((1.0 + c1) / 2.0);

}

/* Scaling for forward transform */

if (dir == 1) {

for (i=0;i x /= n;

y /= n;

}

}

return(TRUE);

}

Pecunianonolet
124
Pecunianonolet  
kidhudi:
Can I find related information about Fast Fourier Transform? Please help.

This isn't in MT4 format but might be useful:

http://www.meyersanalytics.com/epfft.php

http://www.meyersanalytics.com/articles.php

Scroll down and see "End Point Fast Fourier Transform" papers.

Pecunianonolet
124
Pecunianonolet  

By the way, the wizard at SwingMachine, Clyde Lee, used to maintain a Yahoo group a few years ago. From time to time, he'd email various free developmental versions of what you see on his site for members to experiment with. However, these were in Tradestation's Easylanguage and required a copy of Tradestation to open them as I recall.

I haven't kept up with what ol' Clyde is up to lately, but at the time he was using Fourier and other methods to identify the dominant frequencies in the waveform of price data. The code would build a composite of the dominant frequencies and plot surprisingly accurate (in many cases "amazingly accurate") forward (future) projections of turning points, and the size of the future moves. As I recall, sometimes the projections would show several turning points, 'up' then 'down' then 'up' again. (Something to think about... )

And for awhile he was giving away the code that he did it with for the Yahoo group members to tinker with.

I don't know if he's still doing it.

If you have an interest in Fourier, and access to Tradestation, whatever Clyde is up to nowdays is undoubtedly worth a look...

Igor Durkin
8104
Igor Durkin  

Hi,

as you know all Digital Filters (FATL,SATL and so on) are results of Fourier Transform. Coefficients of a polynom have the form of the damped sinusoid.

So I've used this theory for NonLagMA development.

Igor

Pecunianonolet
124
Pecunianonolet  
kidhudi:
do you still have a copy of the swingmachine eld or ela for tradestation? if so could you e-mail it to me so i can take a look at it? his stuff looks exactly like what i am looking for.

kidhudi@hotmail.com

thanks

I started looking around in the old computer that this stuff was on, and found this first: http://finance.groups.yahoo.com/group/swingmachine/

There is a 'free files' section there, which should have much more current stuff.

- - -

After writing the above, I logged in there and had a quick look.

If you register for the group and log in, you'll have access to:

http://finance.groups.yahoo.com/group/swingmachine/files/OMEGA_ELA-ELS_FOLDER/

..where you'll find:

-FOURLINE+_MEM.ELS

"MESA+FourierLineSpectr"

and the older

-fourperd.ela

"Calculate & display dominant period in data at selected intervals"

...and other stuff for your viewing pleasure.

I should say that I doubt that anything there (or what I might have in my archives) is the equal of his 'for sale' version. (This is not a sales pitch, I have no affiliation other than my Yahoo Group membership, etc., I just know he put a huge amount of effort over a long period of time into the thing, and that he is a very, very smart guy.)

I doubt if I have anything more recent than "FOURLINE+_MEM.ELS", but let me know if you want me to dig some more.

EDIT: I also see he combined a bunch of the archived emailed files, into 3 downloadable files, at:

http://finance.groups.yahoo.com/group/swingmachine/files/

This may be more complete than my archives.

Pecunianonolet
124
Pecunianonolet  

BTW, NonLagMA is SWEET !!!

kidhudi
167
kidhudi  

cool site.. there is alot of useful things there. thanks that is awsome. i couldn't find the no lag moving average. what folder did you find it... thanks for pointing me in the right direction. my goal is to find "hurst" type envelopes for either ts2000i or metatrader.. too bad i don't know how to write scripts. i know a few people on this forum who are looking for the same indicator i am looking for.

Pecunianonolet
124
Pecunianonolet  
kidhudi:
i couldn't find the no lag moving average. what folder did you find it...

Glad to help!

- - - -

The NonLagMA is the creation of a wizard from here, Igorad, who replied to you above.

Two versions of the indicator can be found at:

https://www.mql5.com/en/forum/general

The Tradestation version is at http://finance.groups.yahoo.com/group/TrendLaboratory

The NonLagMA has got a cousin, the StepMA_v7.1, which you can find here: https://www.mql5.com/en/forum/173815/page5

I have a limited familiarity with these indicators, but my observation is that they're in a class by themselves. The only thing that I've seen that is even remotely similar is Chande's Derivative Moving Average (CDMA), but I'm liking NonLagMA a lot better.

David Michael
732
David Michael  
Pecunia non olet:
I have a limited familiarity with these indicators, but my observation is that they're in a class by themselves. The only thing that I've seen that is even remotely similar is Chande's Derivative Moving Average (CDMA), but I'm liking NonLagMA a lot better.

Hi, do you have any particular strategy for trade using NonLagMA ? Thank you in advance

Pecunianonolet
124
Pecunianonolet  
firedave:
Hi, do you have any particular strategy for trade using NonLagMA ? Thank you in advance

Hi Firedave,

The first thing that jumped out at me was that this could make a great trend filter for FireBird/Phoenix.

And for MakeGrid-type scripts.

My 'to-do' list is getting long and longer...

- - - -

Really I'm thinking NonLagMA could end up being a best-in-class indicator for any trend-filtering application. I really like how it samples-out noise.

- - - -

BTW: Thanks for your excellent contributions to this Forum!