Cycle forecasting 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.
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.
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.
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.
Thank you sir.
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.
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.
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.
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;
...............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.