Fast Fourier Transform - Cycle Extraction - page 112

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Cycle analysis using the Goertzel algorithm

Cycle analysis using the Goertzel algorithm

The Goertzel algorithm is a digital signal processing technique known for its efficiency in detecting particular frequency components. Its precision, real-time abilities, and computational efficiency make it suitable for financial time series analysis. In this article we will examine and demonstrate practical ways in which the method can be used to analyze dominant cycles for possible strategy development. We will take a look at the implementation of the algorithm in MQL5 and present an example of how to use the code to identify cycles in price quotes.
Cycle analysis using the Goertzel algorithm
Cycle analysis using the Goertzel algorithm
  • www.mql5.com
In this article we present code utilities that implement the goertzel algorithm in Mql5 and explore two ways in which the technique can be used in the analysis of price quotes for possible strategy development.
 

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Goetzel cycles

(look at Goertzel algorithm page in wikipedia)

  1. Goertzel indicators and how to use them - the post
  2. Goertzel browser indicator - the post  
  3. Goertzel browser - end point indicator - the post 
  4. Goertzel browser 1 indicator - the post 
  5. Goertzel browser 2 indicator - the post  
  6. Goertzel browser - end point 2 indicator - the post 
  7. Fourier extrapolation of Goertzel indicator and Fourier extrapolation of Goertzel 2.1 indicator - the post
  8. Goertzel browser 3 indicator - the post 
  9. Goertzel browser 3 mtf indicator - the post 
  10. Goertzel browser 3 mtf-1 indicator - the post: It is interpolated and MTF version of Goertzel browser.
  11. Goertzel cycle indicator - the post 
  12. Goertzel browser 4 indicator - the post: Goetzel cycles calculation is used in this indicators to identify currently existing cycles in signal and that is the list of cycles that the indicator is writing out. Indicator itself is combining those waves into a single wave (that is the "composite wave" that has been mentioned a couple of times) which is showing much more "readable" information.
  13. Goertzel browser 5 indicator - the post 
  14. Goertzel browser 5.2 indicator - the post 
  15. Goertzel browser 5.2.1 indicator - the post 
  16. Goertzel browser 5.53 indicator - the post: Added "PeakSpan" parameter which allows to have more than one bar colored around the peak.
  17. Goertzel browser 5.1_CS_Detrend&Smooth indicator - the post 
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Goertzel algorithm - Wikipedia
Goertzel algorithm - Wikipedia
  • en.wikipedia.org
Like the DFT, the Goertzel algorithm analyses one selectable frequency component from a discrete signal. [2] [3] [4] Unlike direct DFT calculations, the Goertzel algorithm applies a single real-valued coefficient at each iteration, using real-valued arithmetic for real-valued input sequences. For covering a full spectrum (except when using for...
 

Discrete Hartley transform

Discrete Hartley transform

In 1942, Ralph Hartley proposed an analogue of the Fourier transform in his article "A More Symmetrical Fourier Analysis Applied to Transmission Problems".

Just like Fourier transform (FT), Hartley transform (HT) turns the original signal into a sum of trigonometric functions. But there is one significant difference between them. FT converts real values to complex numbers, while HT provides only real results. Because of this difference, the Hartley transform did not become popular - scientists and technicians did not see any advantages in it and continued to use the usual Fourier transform. In 1983, Ronald Bracewell presented a discrete version of the Hartley transform.

Discrete Hartley transform
Discrete Hartley transform
  • www.mql5.com
In this article, we will consider one of the methods of spectral analysis and signal processing - the discrete Hartley transform. It allows filtering signals, analyzing their spectrum and much more. The capabilities of DHT are no less than those of the discrete Fourier transform. However, unlike DFT, DHT uses only real numbers, which makes it more convenient for implementation in practice, and the results of its application are more visual.
 
how can i get  spectrometr2spectrometr2_1 indicator ?
 
Sergey Golubev #:

Do you need to make a fast Fourier transform or to solve a differential equation system? Do you perform a complex data analysis trying to gather all methods in one place as a source code? Then ALGLIB library of numerical methods is for you!

ALGLIB numerical analysis library in MQL5

Financial markets generate data with a huge amount of complex relationships. To analyze them, we need to use the most modern methods of applied mathematics. Successfully combining the high complexity of financial data with the simplicity and efficiency of analysis is a challenging task. ALGLIB is a high-performance library designed specifically for working with numerical methods and data analysis algorithms. It is a reliable assistant in the analysis of financial markets.

ALGLIB advantages
Why choose ALGLIB when working with financial data?

Here are the key benefits of the library:

  • Portability: ALGLIB compiles easily on a variety of platforms using a variety of compilers making it accessible to developers of varying backgrounds.
  • Ease of use: Support for multiple programming languages so you can choose the language you are most comfortable with, without having to learn new syntax.
  • Open source: ALGLIB is open source and can be used under GPL 2+ terms. This makes it accessible for both scientific research and commercial projects.
  • Commercial user support: Commercial users can purchase a license that provides them with legal protection when using ALGLIB.
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