Fast Fourier Transform - Cycle Extraction - page 104
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
Tsar
It does not need any change (neither the mq4 file nor the dll file)
Here is how it looks on my chart without any change in code at allIn my ECN 5 digits terminal need use Start/Resumed debuugging and that's Indie work again.
(I didn't installed before) No Problem with my 4 digits terminal. Btw.. found variable 'tPeriod' not used (Line 222) I wish not make a Problem
great indicator
In my ECN 5 digits terminal need use Start/Resumed debuugging and that's Indie work again. (I didn't installed before) No Problem with my 4 digits terminal. Btw.. found variable 'tPeriod' not used (Line 222) I wish not make a Problem
Tsar
That 'tPeriod' not used (Line 222)" is completely benign compiler warning. It des not affect the indicator work at all
In my ECN 5 digits terminal need use Start/Resumed debuugging and that's Indie work again. (I didn't installed before) No Problem with my 4 digits terminal. Btw.. found variable 'tPeriod' not used (Line 222) I wish not make a Problem
It works OK even with that warning
Eurika... After search more One Week, finally I found it
Compiled with MT4 Build 830 didn't found an Error or Warning.
The Problem solved in my ECN Terminal 5 digits.
unfortunately FFT it turned out to overfit so to be useless for trading
https://www.youtube.com/watch?v=D8e3FcySitY&feature=youtu.be
Krzysztof
unfortunately FFT it turned out to overfit so to be useless for trading
https://www.youtube.com/watch?v=D8e3FcySitY&feature=youtu.be
KrzysztofUsing things like Fourier analysis on a non-stationary data is never going to give results that are usually expected - that is why it is usually used for estimation.
And the question of how many frequencies are there in financial time series remains highly arguable (there is no exact mathematical way to determine it exactly). Goertzel algorithm usually gives some 15-20 significant frequencies which would mean that the Fourier transform still fits in the expectations even for financial time series
My mail was to show how easy is to fool FFT to overfit i.e. search a cycles in noise not in signal. For financial markets where S/N ratio is very low so it will be a case. Unfortunately it is a case in the most of backtests or even designing of the indicators due to selection bias. See this. BTW cycles in the example were stationary.
3rd generation NN, deep learning, deep belief nets and Restricted Boltzmann Machines - Page 24
Krzysztof
My mail was to show how easy is to fool FFT to overfit i.e. search a cycles in noise not in signal. For financial markets where S/N ratio is very low so it will be a case. Unfortunately it is a case in the most of backtests or even designing of the indicators due to selection bias. See this. BTW cycles in the example were stationary.
3rd generation NN, deep learning, deep belief nets and Restricted Boltzmann Machines - Page 24
KrzysztofWell I agree on one thing : overfiting is one of the man causes of wrong trading decisions (and in most TA analysis in general).
Was thinking what would be a logical way to calculate bands for Fourier extrapolation of some indicator. This would be one possible way : it uses standard deviation of indicator values in order to draw bands. It seems to be giving logical results with 1 standard deviation used for bands width and is also very easy to adapt it to show Fourier extrapolation of any indicator
As an example : this one is a Fourier extrapolation of stochastic
PS: if sombody wants to avoid current bar calculation, simply set the LastBar to some value other than 0 (1 would be a first closed bar, and so on)Hello mladen,
the Fourier extrapolation dll is not allowed anymore in the actual Metatrader clients. Could you check and update this ?
thanx and all the best