Fast Fourier Transform - Cycle Extraction - page 110

[benedikt.jones]

Hello,

since weeks I am looking for an possibility to find out the main frequenzies of a price chart. I read a lot of posts an im getting more and more confused. Main problem seem to be that most indicators are for MT4. But I use MT5.

I think that the Goertzel Browser can calculate the main frequenzies (frequnzies with the highest amplitude) of a price chart? Is there an actual version for MT5? Or are there other ideas, maybe faster, to find out the frequenzies?

[Sergey Golubev]

============

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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[Sergey Golubev]

Forum on trading, automated trading systems and testing trading strategies

Advanced links/threads/tools

Sergey Golubev, 2017.09.29 12:56

Hodrick-Prescott filter

The Hodrick-Prescott filter is used in macroeconomics, especially in real business cycle theory to separate the cyclical component of a time series from raw data. It has a zero lag. There is a common disadvantage of such zero lag filters - the recent values are recalculated.

More information on one sided HP filter you can find here : statistics - Hodrick–Prescott filter (one-sided version) - Mathematica Stack Exchange or here time series - Formula for one-sided Hodrick-Prescott filter - Cross Validated and in pdf file attached to this post.

Forum threads (thanks to mladen)

• MACD of a Hodrick-Prescott filter - the first post of the thread  
• Hodrick Prescott Filter (modified adapted Kurt Annens version) - the post 
• Hodrick-Prescott filter HMA mode indicator - the post 
• end-point HMA variation of Hodrick-Prescott filter - the post
• Hodrick-Prescott filter "no lambda" indicator - the post 
• Hodrick-Prescott filter "no lambda" histo indicator - the post 
• goertzel_browser (simple versions, MTF, coloring, etc; Hodrick Prescott filter is used)
  - goertzel_browser_5.2.1 indicator - the post, 
  - goertzel_browser_5.3 indicator - the post 
  - goertzel_browser_5.4 indicator - the post
  - goertzel_browser_5.4_nrp indicator - the post 
  - goertzel_browser_5.5 indicator - the post (standalone indicator) 
  - goertzel_browser_5.51 indicator - the post 
  - goertzel_browser_5.52 indicator - the post 
  - goertzel_browser_5.53 indicator - the post  
  - goertzel_browser_5.1_cs_detrendampsmooth_1 indicator - the post 
• and much more from search here

The articles

• Analyzing the Indicators Statistical Parameters 
• Econometrics EURUSD One-Step-Ahead Forecast

CodeBase

• The Hodrick-Prescott Filter - indicator for MetaTrader 5
• Hodrick-Prescott Channel - indicator for MetaTrader 5 
• Trend Oscillator - indicator for MetaTrader 5
• Hodrick-Prescott Channel - indicator for MetaTrader 4
• Hodrick Prescott Indicator - indicator for MetaTrader 4
• HP Extrapolator - indicator for MetaTrader 4

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[Mladen Rakic]

benedikt.jones:

Hello,

since weeks I am looking for an possibility to find out the main frequenzies of a price chart. I read a lot of posts an im getting more and more confused. Main problem seem to be that most indicators are for MT4. But I use MT5.

I think that the Goertzel Browser can calculate the main frequenzies (frequnzies with the highest amplitude) of a price chart? Is there an actual version for MT5? Or are there other ideas, maybe faster, to find out the frequenzies?

It was not made (at least not by me an not to my knowledge) for MT5

[Shailesh Mishra]

Mladen Rakic:
You are using outdated spectrometr. One of the updated versions is here : https://www.mql5.com/en/forum/183798/page87

Hi, Mladen,

Is it also possible to make such a spectrometer for volumes?

[benedikt.jones]

Mladen Rakic:
It was not made (at least not by me an not to my knowledge) for MT5

@Mladen: How complicated is it to adapt it to MT5. Is it copy-paste or what is the problem?  

What alternatives do I have to find the main freuquencies on a chart at MT5?

[O_M_333]

Hello to all!!

Please can onebody help me with this ?

I am trying to install fast furius  , but i find with this problem ... I have everything charge in its folder  also .dll 

thankss in advance!!!

[Brian Rumbles]

I am trying to work with the indicator palgoertzelbrowser3 that I found here  https://www.mql5.com/en/forum/179807/page42

post #418

But it does not work, I have attached it.

I began to try to fix it by adding #property strict

I then declared all variables that needed to be declared (syntax errors).

I now get array out of range 156.98 in the experts tab. Does this mean that there is a problem with this section of the code?:

int start()
{
   int counted_bars = IndicatorCounted();
   int limit,i,k;

   if(counted_bars < 0) return(-1);
   if(counted_bars > 0) counted_bars--;
           limit = MathMin(Bars-counted_bars,Bars-1);
           if (Bars < 3*MaxPer)
                     { Comment(" Not Enough bars: you need 3*MaxPer -> " + DoubleToStr(3 * MaxPer, 0)); return (0); }

   //
   //
   //
   //
   //
   
      for(i = limit; i >= 0; i--) {values[i] = iCustom(Symbol(),0,"Palgoertzelbrowser4",PALTimeFrame,PALShowValue,PALType,PALemaPeriod,PALAreaBars,PALSmoothLength,PALSmoothPhase,PALSmoothDouble,PALInterpolate,PALShowTrigger,0,i);}

Or is there a problem elsewhere? I have attached my modified version of the code I called palgoertzelbrowser4

[daruler]

Nikolai Semko:

Hello everyone!

It is more convenient to investigate the fast Fourier transform.

For MT5

Hi, interesting one. Where did you find it and have you got the source code .mq5? Reason is, I think there is a bug, because the endpoint do not fix with the mouse click, only stops when you press ESC.

[a0314]

Hi , Why most of you guys want to see the future, rather than to extract a average cycle,

Then plot it to aligh the bottoms like hurst did.

If you can see the past right, then it's enough.