Fast Fourier Transform - Cycle Extraction - page 90
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PS: this is a post https://www.mql5.com/en/forum/179803/page3 with an example how that FFT library is used and how you can extract the data you need
Just a simple aid in finding (and understanding) some things when it comes to FFT : this indicator has just one option added - Inverse. If it is set to true, you will get the upper indicator values. If it is set to false, then the inversion is skipped and the results are frequency domain ones (lower ones) cleaned if required by using FMin and FMax parameters (for the sake of explanation FMin is set to 1 FMax is set to 500). Hope this clarifies some questions what is done and how when FFT is used
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PS: Klots #lib_FFT must be copied and compiled in the libraries folder otherwise the indicator will not work
PPS: a link to Klots site (FFT page here) with a lots of sources for different coding languages : Fast Fourier transform - ALGLIB
I was inquiring of Sinewave indies on mqlsoft.com's download page, which are depending on Cycle Period indy that is there too.
Owner Witold responded:
"Cybernetics Analysis for Stock and Futures"? by John Ehlers.The algorithms are from this book and they are described. About this indicator from the book:
* The Sinewave Indicator is a noncausal predictive filter based on the premise that the Dominant Cycle has existed in the immediate past and will continue into the immediate future.
* The phase has a constant rate of change when the market is in a Cycle Mode
* The phase languishes when the market is in a Trend Mode, and can even have a negative rate of change.
* The Sinewave Indicator consist of the sine of the Dominant Cycle phase and the sine of the Dominant Cycle phase advanced by 45 deg.
* The Sinewave Indicator gives entry and exit signals 1/16 of a cycle period in advance of the cycle turning point
* The Sinewave Indicator seldom gives false whipsaw signals when the market is in a trend mode.
if you can't buy this book now, you can download it in PDF (1st position in search results):
https://www.google.pl/search?q=cybernetics+analysis+for+stock+and+futures+pdf&ie=utf-8&oe=utf-8&rls=org.mozilla:en-US:unofficial&client=firefox-a&gws_rd=cr
you will read whole theory.
Yes, all indicators are free. I'm not the author of algorithms (John F. Ehlers is), I just converted them from EasyLanguage to MQL4.
Just download all indicators to experts\indicators directory, restart terminal and start using.
The problem with Sinewave indicator is that markets in unpredictable moments change from Trend to Cycle Mode and vice versa. But if you can predict this metacycle of trend/cycle modes then there is a chance.
And of course you can have an EA job quoted by me.
--------
So mladen, Is there any optimum sensable way to have this indy mod'ed into trend vs no trend usefulness?
Truly,
Jerry
arashit
I don't want to scare you, but see the results that a search of MIT open course ware returns when you are searching for "Fourier transform" : there are 8040 results (and the majority are complete courses, pdf documents, presentations, ...) There is no simple way to master it. Take your time and it will be worth it
OpenCourseWare Search Results: fourier transformI like looks of fftw.org as to peak MIT work in this field (albeit of only slight concept understanding), but I'm lost and confused here as to fft or dft application, seems me and web buddy didn't have some pieces from here available to to get these fft indies going. Witold at
Mqlsoft.com got it going he says, but I been bugging him enough w/o hope of purchasing an EA so I dare not inquire further how he did that. Maybe someone can write him saying "I heard you got an fft indy with its various folder components going, might I try it out with your directed links to download, post on your download page?"
Seems whenever I see such here in this thread its either some component is assumed to be known as to where to fetch or an mq4 is supposed to be in other than indy folder, its left me with blank stares, maybe Pava likes that? Lol. ;-O. Feels like no orderly way to pursue and treading thru this thread since 2008 seems nitemarish. Lol.
Jerry
I was inquiring of Sinewave indies on mqlsoft.com's download page, which are depending on Cycle Period indy that is there too.
Owner Witold responded:
"Cybernetics Analysis for Stock and Futures"? by John Ehlers.The algorithms are from this book and they are described. About this indicator from the book:
* The Sinewave Indicator is a noncausal predictive filter based on the premise that the Dominant Cycle has existed in the immediate past and will continue into the immediate future.
* The phase has a constant rate of change when the market is in a Cycle Mode
* The phase languishes when the market is in a Trend Mode, and can even have a negative rate of change.
* The Sinewave Indicator consist of the sine of the Dominant Cycle phase and the sine of the Dominant Cycle phase advanced by 45 deg.
* The Sinewave Indicator gives entry and exit signals 1/16 of a cycle period in advance of the cycle turning point
* The Sinewave Indicator seldom gives false whipsaw signals when the market is in a trend mode.
if you can't buy this book now, you can download it in PDF (1st position in search results):
https://www.google.pl/search?q=cybernetics+analysis+for+stock+and+futures+pdf&ie=utf-8&oe=utf-8&rls=org.mozilla:en-US:unofficial&client=firefox-a&gws_rd=cr
you will read whole theory.
Yes, all indicators are free. I'm not the author of algorithms (John F. Ehlers is), I just converted them from EasyLanguage to MQL4.
Just download all indicators to experts\indicators directory, restart terminal and start using.
The problem with Sinewave indicator is that markets in unpredictable moments change from Trend to Cycle Mode and vice versa. But if you can predict this metacycle of trend/cycle modes then there is a chance.
And of course you can have an EA job quoted by me.
--------
So mladen, Is there any optimum sensable way to have this indy mod'ed into trend vs no trend usefulness?
Truly,
JerryJerry, if its the Sinewave I have this version did a little with it awhile back, and looking at daily EurJpy which looks like it has been in cycle mode for about a year.
I like looks of fftw.org as to peak MIT work in this field (albeit of only slight concept understanding), but I'm lost and confused here as to fft or dft application, seems me and web buddy didn't have some pieces from here available to to get these fft indies going. Witold at
Mqlsoft.com got it going he says, but I been bugging him enough w/o hope of purchasing an EA so I dare not inquire further how he did that. Maybe someone can write him saying "I heard you got an fft indy with its various folder components going, might I try it out with your directed links to download, post on your download page?"
Seems whenever I see such here in this thread its either some component is assumed to be known as to where to fetch or an mq4 is supposed to be in other than indy folder, its left me with blank stares, maybe Pava likes that? Lol. ;-O. Feels like no orderly way to pursue and treading thru this thread since 2008 seems nitemarish. Lol.
JerryBatchboy
Please read this post again : https://www.mql5.com/en/forum/178842/page60
Take your time and with right info (from this thread too as well as from all the cited places) it will all become clear. You have been given all the "ingredients", now you just have to tie them together. But really, this time parroting, there are no shortcuts. There is no 5 minute crash-course of FTT. It is a clearly defined mathematical theory and it has to be treated as that, otherwise you risk to go in a wrong way
If I had a FFT lab instrument then **MAYBE** off of quote chart I could see frequency/phase patterns (using my past electronic engineering flairs) that are indications of quotes coming out of consolidation, but even having that is too high 'n mighty it seems.
Batchboy
Please read this post again : https://www.mql5.com/en/forum/178842/page60
Take your time and with right info (from this thread too as well as from all the cited places) it will all become clear. You have been given all the "ingredients", now you just have to tie them together. But really, this time parroting, there are no shortcuts. There is no 5 minute crash-course of FTT. It is a clearly defined mathematical theory and it has to be treated as that, otherwise you risk to go in a wrong wayPointing me to huge pile of mit articles doesn't help, pardon if that seems antagonistic, but just being factual Maybe you are mathematically inclined?
You profitably use fft or dft?
Jerry
Jerry, let me see if I get this straight.
You say you know something about "electronic engineering" but you don't know the difference between FFT and DFT....and you don't want to read the thread and look at the research. Tell us what you really want? Your hand held? We are not playing with lego here. This thread is about trading cycles where the emphasis is on analysis not signals. There is a difference.
Do you really think that by adding spectrum analysis to your genetic optimizer it is somehow going to be the key to spitting out profitable EA's? Do you really think that by randomly selecting 100,000 different combinations from your inputs you are going to find the magic formula to making profitable EA's? Dream on!
Trading with cycles is not going to make an unprofitable trader suddenly profitable, quite the opposite in fact as this is about going against the prevailing trend and trading the turning points. I can see no faster way to wipe out your account if you don't know what you are doing so the only solution is to know how to trade in the first place. Why don't you focus on that.
hughesfleming...I can smell the Holy Grail just around the corner...
Something like this is behooving to suggest:
Understanding FFT Applications : A Tutorial for Laymen, Students, Technicians & Working Engineers:Amazon:Books
Jerry, let me see if I get this straight.
You say you know something about "electronic engineering" but you don't know the difference between FFT and DFT....and you don't want to read the thread and look at the research. Tell us what you really want? Your hand held? We are not playing with lego here. This thread is about trading cycles where the emphasis is on analysis not signals. There is a difference.
Do you really think that by adding spectrum analysis to your genetic optimizer it is somehow going to be the key to spitting out profitable EA's? Do you really think that by randomly selecting 100,000 different combinations from your inputs you are going to find the magic formula to making profitable EA's? Dream on!
Trading with cycles is not going to make an unprofitable trader suddenly profitable, quite the opposite in fact as this is about going against the prevailing trend and trading the turning points. I can see no faster way to wipe out your account if you don't know what you are doing so the only solution is to know how to trade in the first place. Why don't you focus on that.Hi Hughes,
Not sure I said I don't know fft from dft, but got that a wee bit cleared up so no prob.
Fftw.org seemed like its the ultimate, and there's this book url above.
Actually there is evidence of SQ doing its thing from hunting and finding robust EA's, it has MonteCarlo
Robustness analysis, so it does fine. Just trying to extend to "dynamic" also. Am running it now on 12yrs 1hr bars and it comes out with great stuff!
There's even a thread "dynamic EA's" here on forex-tsd, why not "lego" on them?
You seem angered or antagonistic by those who work with indies toward an EA, well, there's eternally 2 camps on this front, isn't there.
hughesfleming...I can smell the Holy Grail just around the corner...
Its more like "Near Holy Grails" Pava. Trade in your crystal for a StrategyQuant Pava! ;-)