Fast Fourier Transform - Cycle Extraction - page 34
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this is what I meant...that cycle kept on moving...plus...you can never trust cycles...they can be a curve following trend...the cycle might be there but the profit isn't...
Pip ,
- Some pairs don't have cycles , and if they do its hidden and you will need to filter the data.
- Some timeframes don't have cycles, and if they do its hidden and you will need to filter the data.
If you can't spot a cycle move on to another pair another timeframe.
Create your own timeframes
Those are videos that show step by step on how to use rapidminer (Free data mining software) with forex , don't limit yourself to MT4. http://www.youtube.com/user/neuralmarkettrends1
Matlab might be better option as there are already some codes on MT4 codebase to bridge between Matlab and MT4 .
I truly appreciate the feedback guys. Cheers!
Hi Pip,
Minimi, is right. The way I use wavelets is not for extracting cycle length but to see where the cycles are present and to get a rough idea about the frequency. You often hear that the 4H timeframe is best and that idea is easy to believe. In practice, I don't find that to be the case. The strongest cycles are on the daily (no surprise) but the 1H is also very useful. Below that, noise seems to dominate so beware of ghosts.
To get a rough idea of which cycle is the most relevant, I use the half length of a simple moving average. Not very exotic but I expect to see prices react off that line and has worked for me for years. For example, I am following a cycle on EURUSD daily that is 291 days long so an sma of 146 is what I have on my chart. I have been following this cycle for 12 months more or less. Take a look.
regards,
Alex
Edit- When looking at long SMAs, I find it useful to construct one Line for close, high and low to account for noise.
How do you trade the cycles exactly?Find the highest cycle correlation to price and then buy sell with moving average crosses?
The moving averages or trend line breaks are just confirmation and lagging the actual cycle....but still useful for support and resistance. You will need some way to visualise the cycle and estimate peaks. This is what Pip is doing in the example he posted.
Many thanks for your thoughts Hughes. Cheers, Pip
Hi Pip,
Minimi, is right. The way I use wavelets is not for extracting cycle length but to see where the cycles are present and to get a rough idea about the frequency. You often hear that the 4H timeframe is best and that idea is easy to believe. In practice, I don't find that to be the case. The strongest cycles are on the daily (no surprise) but the 1H is also very useful. Below that, noise seems to dominate so beware of ghosts.
To get a rough idea of which cycle is the most relevant, I use the half length of a simple moving average. Not very exotic but I expect to see prices react off that line and has worked for me for years. For example, I am following a cycle on EURUSD daily that is 291 days long so an sma of 146 is what I have on my chart. I have been following this cycle for 12 months more or less. Take a look.
regards,
AlexCorrect, I am not trading the cycles themselves (i.e. using them as entry signals, i use other methods for that). I am rather using them with manual manipulation to get an idea of what is relevant and what is not.
In the Advance Elite section we developed an indicator called the Dynamic Cycle Explorer, which essentially is the difference between two half cycle moving averages that does a pretty good job in modeling price action. This tool i used against cycle explorer type indicators to determine the dominance of the cycle and its relevancy.
Here is an example of what I mean
In this example i have all cycles represented in the composite, hence its distortion from the actual path of the price. The real relevant cycles are the Red, Orange, and Blue but they are out of phase from where they need to be. The Orange cycle need to be adjusted forward (i.e. brought more to the right) and the red need to be moved a bit backwards (i.e. to the left) to bring it in alignment with market action. Should that happen, the forecast would match price action.
Here is a screen shot with just the 3 relevant cycles included in the composite
The fact that the CEI changes in real time is actually an advantage, in my opinion, because it allows me to react as needed in adjusting the cycle to a degree. Phase change capability is important to me and so am still trying to figure out how to do it with my limited cognitive capacity.
Naturally, some may think am on crack for pursuing this and that is cool by me, this is part of my learning process and I need to "experience" the math to understand how it works. I call it, live math (i.e. visualize the mathematics in action as though they were a living being moving).
Cheers,
Pip
The moving averages or trend line breaks are just confirmation and lagging the actual cycle....but still useful for support and resistance. You will need some way to visualise the cycle and estimate peaks. This is what Pip is doing in the example he posted.
Hi Pip,
Minimi, is right. The way I use wavelets is not for extracting cycle length but to see where the cycles are present and to get a rough idea about the frequency. You often hear that the 4H timeframe is best and that idea is easy to believe. In practice, I don't find that to be the case. The strongest cycles are on the daily (no surprise) but the 1H is also very useful. Below that, noise seems to dominate so beware of ghosts.
To get a rough idea of which cycle is the most relevant, I use the half length of a simple moving average. Not very exotic but I expect to see prices react off that line and has worked for me for years. For example, I am following a cycle on EURUSD daily that is 291 days long so an sma of 146 is what I have on my chart. I have been following this cycle for 12 months more or less. Take a look.
regards,
AlexThanks Alex, how come you get to 291 cycle, thru wavelets? Here is screenshot of DCE (dynamic cycle explorer) and 291 looks perfect on daily.