Elite indicators :) - page 387

Abdalla Doleh
1348
Abdalla Doleh  

Cycle forecasting Indicator

mladen:
Here is a Fourier extrapolation of SSA of price too

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In order to add some clarity in display, added a possibility to display the main indicator value on chart, and some options are added (so it is suitable as a frame for indicators that should be displayed on a main chart) Added options to turn on and of the display of main indicator values (SSA of price in this case) and past values (that are calculated as a basis for future - extrapolated values)
To remind : this one needs libSSA.dll and fourier extrapolation.dll in order to work. Also, as a short "how to" : when you notice that changing the harmonics number does not change the values of the Fourier values, either make the frequency tolerance or the number of past bars less(so if you do not want to sacrifice past, make the frequency tolerance less. Be careful though, because making the frequency tolerance to small can overload your PC)

______________________

PS: made a change in how the values are shown (the control what is shown) Please re-download the indicator if you do not have a ShowFutureValuesoption in the indicator

In his book Decoding The Hidden Market Rhythm, Lars Von Thienen opted to use a "modified" Discrete Fourier Transform mathematics over Fast Fourier Transform, Maximum Entropy Spectral Analysis (MESA) and Wavelets mathematics to avoid over optimization of the result to past data hence making walk forward calculation more reliable. Mladen, please forgive my ignorance with the following questions, but could you kindly indicate which Fourier mathematics you are using to extrapolate SSA? Also, why SSA? is it not a fact that SSA data for most recent history is prone to be "redetermined"?

Since I am not a very good programmer I would like to propose to the program-able participants to consider the following for a potential MT4 indicator. Some of what I am about to propose has been somewhat discussed in the free forum section under the cycle indicators but I don't think it has been implemented (to my knowledge) fully. What I am proposing is based on Thienen's work, which is exquisite if i may add, but since I am not a mathematician nor a programmer, I believe others here (such as Crodzilla, SIMBA, Mladen, Mrtools, etc) can do a much better job.

I would like to propose a cycle extrapolation indicator that is done as correctly as possible with some guidance from Mr. Thienen.

Here is a key quote from his book that pretty much says it all:

"My method (for detecting cycles in the market) is specially designed for analysis of the financial time series datasets. It combines the advantages of current methods but tries to the extend possible to eliminate the disadvantages of the individual approaches with reference to the specific features of the financial time series.

By combining special DFT methods (including the Geortzel algorithm), validation by means of statistical measurement methods (including the Bartels Test) and my own approaches to pre-processing (detrending), I have been able to develop my own reliable method for measuring cycles in the financial time series datasets."

Ok, the above quote is a gem if you are into cycle trading. I tried to format some content for emphasis

So what are the steps to create a good cycle forecasting indicator?

1) Present visual spectrum of wave analysis of lengths 5-300 price bars

2) Determine the peaks in the spectrum analysis to determine relevant and significant cycles

3) Through statistical validation identify the cycles that are active

4) Determine precise phase and amplitude of every active cycle

5) Output the data in a form comprehensible to traders

i) The phase in the form of the date of the last low point

ii) The amplitude in the form of the current price-scale, and

iii) The length of the wave in the form of the number of bars in the chart

6) Determining the "strength" of a cycle by establishing the price movement per bar "cycle strength"

Most the points above have been discussed in the cycle thread in the free forum but I would like to point your attention to the last point, this point I don't think it was discussed, nor were the output relevancy to traders and its format.

In regards to point 6 above, Mr. Thienen explains that "In classical cycle analysis, the waves with the largest amplitude are usually described as dominant. However, for us as traders the relative influence of cycle per time unit - i.e., per bar on the chart - is of much greater interest. Therefore, the so-called cycle strength is ultimately used as measurement value for the cycle with the greatest influence per price bar."

Anyway, I realize I probably discussed too much in this post and I probably should start a new thread for this subject or perhaps it should be added into another thread (SIMBA's perhaps) but I figured since am discussing an indicator then perhaps it is best to place it here. Naturally, Admin, feel free to move this post as appropriate.

I look forward to your feedback.

Cheers,

Pip

William Snyder
9497
William Snyder  
Pip:
In his book Decoding The Hidden Market Rhythm, Lars Von Thienen opted to use a "modified" Discrete Fourier Transform mathematics over Fast Fourier Transform, Maximum Entropy Spectral Analysis (MESA) and Wavelets mathematics to avoid over optimization of the result to past data hence making walk forward calculation more reliable. Mladen, please forgive my ignorance with the following questions, but could you kindly indicate which Fourier mathematics you are using to extrapolate SSA? Also, why SSA? is it not a fact that SSA data for most recent history is prone to be "redetermined"?

Since I am not a very good programmer I would like to propose to the program-able participants to consider the following for a potential MT4 indicator. Some of what I am about to propose has been somewhat discussed in the free forum section under the cycle indicators but I don't think it has been implemented (to my knowledge) fully. What I am proposing is based on Thienen's work, which is exquisite if i may add, but since I am not a mathematician nor a programmer, I believe others here (such as Crodzilla, SIMBA, Mladen, Mrtools, etc) can do a much better job.

I would like to propose a cycle extrapolation indicator that is done as correctly as possible with some guidance from Mr. Thienen.

Here is a key quote from his book that pretty much says it all:

"My method (for detecting cycles in the market) is specially designed for analysis of the financial time series datasets. It combines the advantages of current methods but tries to the extend possible to eliminate the disadvantages of the individual approaches with reference to the specific features of the financial time series.

By combining special DFT methods (including the Geortzel algorithm), validation by means of statistical measurement methods (including the Bartels Test) and my own approaches to pre-processing (detrending), I have been able to develop my own reliable method for measuring cycles in the financial time series datasets."

Ok, the above quote is a gem if you are into cycle trading. I tried to format some content for emphasis

So what are the steps to create a good cycle forecasting indicator?

1) Present visual spectrum of wave analysis of lengths 5-300 price bars

2) Determine the peaks in the spectrum analysis to determine relevant and significant cycles

3) Through statistical validation identify the cycles that are active

4) Determine precise phase and amplitude of every active cycle

5) Output the data in a form comprehensible to traders

i) The phase in the form of the date of the last low point

ii) The amplitude in the form of the current price-scale, and

iii) The length of the wave in the form of the number of bars in the chart

6) Determining the "strength" of a cycle by establishing the price movement per bar "cycle strength"

Most the points above have been discussed in the cycle thread in the free forum but I would like to point your attention to the last point, this point I don't think it was discussed, nor were the output relevancy to traders and its format.

In regards to point 6 above, Mr. Thienen explains that "In classical cycle analysis, the waves with the largest amplitude are usually described as dominant. However, for us as traders the relative influence of cycle per time unit - i.e., per bar on the chart - is of much greater interest. Therefore, the so-called cycle strength is ultimately used as measurement value for the cycle with the greatest influence per price bar."

Anyway, I realize I probably discussed too much in this post and I probably should start a new thread for this subject or perhaps it should be added into another thread (SIMBA's perhaps) but I figured since am discussing an indicator then perhaps it is best to place it here. Naturally, Admin, feel free to move this post as appropriate.

I look forward to your feedback.

Cheers,

Pip

Pip,

Have you seen here? https://www.mql5.com/en/forum/179807

It starts there and there is a version 5 here

https://www.mql5.com/en/forum/179807/page51, with extrapolated mtf. , not sure how these compare with Mr. Thienen's.

Files:
cycles.gif 29 kb
Hercs
2970
Hercs  

Yes, thanks

mrtools:
No idea, were you able to get it to load?

Hello MrTools,

For some strange reason it loaded perfectly the next day. Many thanks.

It's not that I am not replying to you, but I cannot post any messages for another strange reason. Most annoying to say the least.

Best regards,

Mladen Rakic
151107
Mladen Rakic  

Been reading an article from Joe Luisi : "Playing TRIX: The Triple Exponential Smoothing Oscillator", and decided t check if what he is telling stands.


Well, with a small deviation, it seems that what he said is not far from the truth. So here is this version of trix with what he calls a "least-squares fit method" (linear regression value) as a signal line. On the example picture I marked the period where there are losses with orange square. The deviation is that Joe Luisi recommends a "3 day trix and a 8 day signal line" while I used in this example 5 and 8 (the example is a 1 hour chart).

Even on my daily chart periods 5 and 8 work OK (I checked only EURUSD for signals. Maybe it is time to tell why I post only EURUSD charts : the reason for that consists of 2 parts - I do not trade anything but EURUSD (reason 1) and I do not trade anything but EURUSD because, in my opinion, it is the only symbol that, due to the volume it is traded, is the only one that is trending). I really would hate to be a victim of one man game (like GBPUSD) or similar ones - but then, that is only my opinion.

Anyway, try out this indicator.

Abdalla Doleh
1348
Abdalla Doleh  
mrtools:
Pip,

Have you seen here? https://www.mql5.com/en/forum/179807

It starts there and there is a version 5 here

https://www.mql5.com/en/forum/179807/page51, with extrapolated mtf. , not sure how these compare with Mr. Thienen's.

Thank you sir.

Hercs
2970
Hercs  

Alerts

mrtools:
This is normalized deviation,normalized atr, with deviation ma and smoothing. When the deviation(blue) and ma(gold) are above the red(atr) uptrend, strong uptrend when the deviation is greater than the ma while above the atr. For sell trend the opposite. Made it multi time frame but haven't decided how to do the alerts yet.

============

Good morning MrTools

May I respectfully request that the Alert happens when the MA (Gold in your case) crosses both the other 2 lines? Just check on this morning's signal @ 08h15 CET on this screen-print. In a market that has been sideways for so long, THAT was THE clue. My entry was later based on the price being rejected continuously by the Aqua-level @ 1.4355 and waited for a break.

The interesting situation that occurred @ 07h35 marked as "A" on the chart, shows that the market was "approaching" an imminent change in direction the way that I read it and once the cross-over occurred at "B" (08h15 as above), we could look for an entry.

It seems as if this indicator has earned its place in my arsenal.

Thanking you again.

Best wishes.

William Snyder
9497
William Snyder  
ValeoFX:
============

Good morning MrTools

May I respectfully request that the Alert happens when the MA (Gold in your case) crosses both the other 2 lines? Just check on this morning's signal @ 08h15 CET on this screen-print. In a market that has been sideways for so long, THAT was THE clue. My entry was later based on the price being rejected continuously by the Aqua-level @ 1.4355 and waited for a break.

The interesting situation that occurred @ 07h35 marked as "A" on the chart, shows that the market was "approaching" an imminent change in direction the way that I read it and once the cross-over occurred at "B" (08h15 as above), we could look for an entry.

It seems as if this indicator has earned its place in my arsenal.

Thanking you again.

Best wishes.

Valeo,

Thanks for reminding, been wanting to do this because have seen those moves, but after the fact, and have been meaning to add the alerts but start doing other things and forget, doubt will have them ready till after i get home from work.

William Snyder
9497
William Snyder  

Here you go Valeo added the alerts and arrows, maybe i should call it Saturn, was trying to find a different widget but have no access to mq4 area to find a different widget, if you prefer the arrows can just change the number to whatever you prefer.

Mladen Rakic
151107
Mladen Rakic  

Exploring deviation bands ...

As a continuation of exploring ... exploring deviations bands now


If Band(n)Multiplier parameter is set to > 0, than that band is drawn on the chart (that way you can get up to 3 bands on the chart - in the lower example there are 3 asymmetric sma bands)

And at the end - as a reminder : ma modes used by the indicator are

0 - simple moving average (SMA)

1 - exponential moving average (EMA)

2 - double smoothed exponential moving average

3 - Double EMA (DEMA)

4 - Tripple EMA (TEMA)

5 - Smoothed MA (SMMA)

6 - Linear weighted MA (LWMA)

7 - Parabolic weighted MA

8 - Alexander MA

9 - Volume weghted MA

10 - Hull MA

11 - Triangular MA

12 - Sine weighted MA

13 - Liner regression value

14 - NonLag MA

15 - Zero lag EMA;

Files:
bands_1.gif 24 kb
bands_2.gif 23 kb
bands_3.gif 27 kb
Hercs
2970
Hercs  

Many thanks.

mrtools:
Here you go Valeo added the alerts and arrows, maybe i should call it Saturn, was trying to find a different widget but have no access to mq4 area to find a different widget, if you prefer the arrows can just change the number to whatever you prefer.

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...............and today it was worth its weight in Gold, MrTools! Thanking you again.

I notice there is another indicator to study over the weekend , but I am looking forward to seeing how it would perform against the "pCCi"

Wishing you a wonderful weekend.

Best wishes.