Fast Fourier Transform - Cycle Extraction - page 105
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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 bestBoxter
Here is how it looks like on my terminal (that same indicator and dll) :
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 bestUpgraded Fourier extrapolation of stochastic : fourier_extrapolation_-_of_stochastic_2.mq4
As I explained here : https://www.mql5.com/en/forum/general extrapolation of averages works OK
Upgraded Fourier extrapolation of stochastic : fourier_extrapolation_-_of_stochastic_2.mq4 As I explained here : https://www.mql5.com/en/forum/general extrapolation of averages works OK
Just to clarify : Fourier transform and Fourier extrapolation are recalculating (as some call it repainting). Do not use them for granted and God forbid, for signals
J. M. Hurst, "Cyclic Analysis: A Dynamic Approach to Technical Analysis" : the book
Early studies of such data produced the conclusion that equity prices vary in a random, hence unpredictable, way.
This conclusion has been replaced in the last decade as evidence mounts that equity price variation is ordered and quasi-predictable.
The relationship between past and future prices is found to be complex and nonlinear. Current simplified models represent price movement as consisting of a linear combination of wave functions with specific and consistent interrelationships. This viewpoint has led to the development of the Wave Theory of Price Action.
From this Wave Theory, a body of practical application methods called Cyclic Analysis has been evolved which permits a fully integrated and wholly technical approach to the problem of trading and investing successfully in the stock and commodity markets.
This approach features the following unique capabilities: prediction of price-reversal timing, prediction of the price at an anticipated reversal, estimation of the extent of the price move expected to follow a reversal, and evaluation of a transaction before entry in terms of risk and profit potential.
Cyclic Analysis methodology has been field tested since 1971, and computerized analysis aids are available.J. M. Hurst, "Cyclic Analysis: A Dynamic Approach to Technical Analysis" : the book
Nice one. Thanks
Nice one. Thanks
I second that. Good book
Yes, I think you have the same indicator I have. That is the default template. I have added a volatility channel breakout indicator (blue and red arrows) to help with timing (mindhero). It would seem that by taking the signals with the direction of the composite would be in our favor. Yes, it does re-calculate the waves on every bar. But it seems to me in forex, you have to based on the constant flow of news affecting prices. If we were trading stocks, news is not as fast paced, and a descent prediction may occur well into the future (90% accurate to 100 days - per Millard). That is why I find myself sticking to the lower timeframes, where the cycles are established and quickly absorbed by the news.
I've been trying to read about FFT. The math is way over my head. I like SSA too (over-priced for me). It has a prediction mode which I like, to extrapolate the cycles into the future. I am going to try to do the same with this indicator, but can only do it with the waves. I tried re-creating the composite by adding the individual cycles (should work in theory), but couldn't get it to work.
The FFT routine does something extra in computing the composite that I don't know about.
If I can just extrapolate enough into the future to at least project a timeframe where a turning point should occur would be ecstasy.
But currently, by adding some trendlines and by using a little pattern recognition, I think we'll have something.
CarlHello crodzilla, could you please help me with the cyle extraction indicator?
Hello crodzilla, could you please help me with the cyle extraction indicator?
rkizza
What kind of help do you need and with which cod exactly?
Fourier Transform Methods in Finance by Umberto Cherubini, Giovanni Della Lunga, Sabrina Mulinacci and Pietro Rossi: the book
Fourier Transform Methods in Finance is a practical and accessible guide to pricing financial instruments using Fourier transform. Written by an experienced team of practitioners and academics, it covers Fourier pricing methods; the dynamics of asset prices; non stationary market dynamics; arbitrage free pricing; generalized functions and the Fourier transform method.
Readers will learn how to:
* compute the Hilbert transform of the pricing kernel under a Fast Fourier Transform (FFT) technique
* characterise the price dynamics on a market in terms of the characteristic function, allowing for both diffusive processes and jumps
* apply the concept of characteristic function to non-stationary processes, in particular in the presence of stochastic volatility and more generally time change techniques
* perform a change of measure on the characteristic function in order to make the price process a martingale
* recover a general representation of the pricing kernel of the economy in terms of Hilbert transform using the theory of generalised functions
* apply the pricing formula to the most famous pricing models, with stochastic volatility and jumps.
Junior and senior practitioners alike will benefit from this quick reference guide to state of the art models and market calibration techniques. Not only will it enable them to write an algorithm for option pricing using the most advanced models, calibrate a pricing model on options data, and extract the implied probability distribution in market data, they will also understand the most advanced models and techniques and discover how these techniques have been adjusted for applications in finance.Re: Fast Fourier Transform - Cycle Extraction
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.Is there a source on how to use this thing?