Fast Fourier Transform - Cycle Extraction - page 76
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I understand...what I asked is for a picture...may be comparison...because I have no idea what is going on...but I do have an inquiring mind:)
(I want everybody to understand that I am meat & potatoes kind of guy and I have my simple way of trading...but am always interested of what can be achieved....or not:)
It's good seeing this thread is still alive somewhat. Learned alot and taking time to absorb everything as there are alot of stuff i still dont quite understand.
Keep the good stuff going. Thanks :-)
Yours sincerely,
Wintersky
To verdoclev,
Keep in mind that the cycles are sorted by amplitude and those amplitudes can change which can alter the order of your cycles. You will also find that the phase values can shift forwards and backwards so if your are trying to make adaptive indicators around this then you might find that it not stable enough. Also note that the cycle with the highest amplitude might not have the best fit to what price is doing. Often the second cycle is more useful and this is especially true when the phase of the first cycle is very close to the value you set for MaxPer.
If you are looking at cycles at EURUSD for example, you might also want to run the browser on some of the other EUR crosses and see which cycles are present elsewhere. Often you can find a match and this should give you a better idea about which cycle in the list is has the most importance.
Regardless, if you come up with something interesting by extracting the periods, please don't hesitate to post your findings.
regards,
Alex
To verdoclev,
Keep in mind that the cycles are sorted by amplitude and those amplitudes can change which can alter the order of your cycles. You will also find that the phase values can shift forwards and backwards so if your are trying to make adaptive indicators around this then you might find that it not stable enough. Also note that the cycle with the highest amplitude might not have the best fit to what price is doing. Often the second cycle is more useful and this is especially true when the phase of the first cycle is very close to the value you set for MaxPer.
If you are looking at cycles at EURUSD for example, you might also want to run the browser on some of the other EUR crosses and see which cycles are present elsewhere. Often you can find a match and this should give you a better idea about which cycle in the list is has the most importance.
Regardless, if you come up with something interesting by extracting the periods, please don't hesitate to post your findings.
regards,
AlexI would like to add to Alex's feedback by pointing to the fact that since cycles are sorted by Amplitude the most obvious drawback is that this sorting may not relate to the cycle strength or persistence in any shape or form. What this means is that, similar to Alex's advise, am advising that you be careful with the isolating "a cycle" since it may not be the one you want.
Regards,
Pip
Cycle congestion EURUSD
Following on from examples I have posted in the past, here are three sets of simple moving averages that represent the zero points of the three primary cycles sorted with the highest amplitudes (415,129,75). SMA's of the full cycle length have an equal number of points above and below and can completely eliminate the dominant cycle component. This leaves you with a trend line that can be used for support and resistance. It is much easier to build trading systems around the zero point than the peaks and this concept of extracting the phase periods on bar by bar basis was the foundation of Ehler's instantaneous trend line. If a cycle is persistent within the time series then sma works just as well.
What we see in this picture is the convergence of these sma's and price bouncing about within these ranges. I would expect that this might take some time to resolve.
Nice post hughesfleming, thanks.
How were the amplitudes of the three dominant cycles obtained in this case?
Cheers, Snow.
Hi Snowski,
Chat with you offline.
Alex
To verdoclev, ... second cycle is more useful and this is especially true when the phase of the first cycle is very close to the value you set for MaxPer.
assume you meant '...when the *period* of the first cycle...' ?
Yes I mean period.
Alex
...
Rule 1: Multiply 136 by 4 = 544 for trough to peak in this case or if your are measuring peak to peak, multiply the result by 2.
544 days will ensure that we have enough bars to start the analysis. Using 500+ bars has advantages as it allows us examine several well known natural cycles that exist in financial markets. ...for clarification: trough-to-peak would be a half-cycle. By multiplying by 4 you cover two periods or cycles since trough-to-peak is one-half cycle. Do you choose this in view of Nyquist sampling or related reason? Thanks.