Fast Fourier Transform - Cycle Extraction - page 2
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Further Development...
Michal,
That is a great piece of work. How do we get a 1 bar forecast? From what I read of Brian Millards' work, he will use the one bar forecast then run the FFT again which includes the forecast. And he will continue to do that for as many bars as desired into the future.
I've also seen elsewhere that you can do a walk forward analysis as I desribed to validate the cycles of current and come up with a probability of fit for the future cycles.
I wish I was as good a programmer as my mind imagines what I would like to accomplish with FFT. Wavelet technology fascinates me. Waves are an integral part of the universe, which of course includes the markets.
I guess I don't quite know how to use all of the functions for the FFTW package. The math definitely confounds me. I am a programmer, but custom databases are my specialty, not math based programs. I do like to program EA's and indicators. I'm sure I will continue to analyze and come up with a trading strategy using FFT for a long time to come.
Carl
I've also seen elsewhere that you can do a walk forward analysis as I desribed to validate the cycles of current and come up with a probability of fit for the future cycles.
Well, there is nothing really to know about it, you just wait for the waves to be in your direction, since sine waves oscillate in fixed scale between 3 point's, the polyphonic waves is the harmony of the market so when you ride polyphonic waves you just wait for the waves to be in your direction, you wait for your wave like everybody else waiting for his wave (signal,trigger..), and if you really tracking cycles for few month's you already know the movement of the waves, and i mean the waves formations, but yes, i agree that news sometimes mass up the waves, changing the length, invert the phase and such....but thats normal for a moving market.
I like to trade(scalp) the market with cycles and with the "Rainbow" concept on a 5min charts, the "Rainbow" is acting like a spectrogram analyzer, the ma compression is the dynamic S\R levels that the market produce from moving in the dimensions....those days i'm working on finding the speed of the market which will give me a much more clear readings.
Wavelet technology fascinates me. Waves are an integral part of the universe, which of course includes the markets.
Not only you
, and i agree, not only that waves are integral part of the universe, if you know how to read those waves and i mean: waves behavior in space & time, reflections and much more.......you'll be OK 
Ride those Waves inside the harmony!
Good luck
-m-
This is FFT indicator, read the document first
===================
Forex Indicators Collection---------------------------------------------
Here everything should be installed:
fftfiltr.mq4 experts\indicators
ExpertSample.dll experts\library
sampledll.mqh experts\include
fftfiltr.tpl template
libfftw3-3.dll windows\system32
------------------------------------------------*
Prasxz, it doesn't go - no windows dll file
The windows dll file is from a different site. It is a freeware FFT library which I'm using for the indicator. Please go to my site to the download section and find there the reference for this library. I've didn't include this dll in the zip as it was too large for my web provider
Michal, That is a great piece of work. How do we get a 1 bar forecast?
This is quite simple. As FFT assumes that signals are periodic, all values repeat with period N. Therefore the next sample would be equal to the sample N samples before (the last one). Second would be the next after last, etc.
There is an input 'shift' which in fact moves the window back and the latest bars are 'predicted'. This means, when you put shift to 10 then the newest 10 bars are not taken for the FFT but resulting from a shifted back FFT window. This way you can see how phases of waves change with new bars. It is good to observe some waves with different shifts to get an idea.
Thanks...
This is quite simple. As FFT assumes that signals are periodic, all values repeat with period N. Therefore the next sample would be equal to the sample N samples before (the last one). Second would be the next after last, etc. There is an input 'shift' which in fact moves the window back and the latest bars are 'predicted'. This means, when you put shift to 10 then the newest 10 bars are not taken for the FFT but resulting from a shifted back FFT window. This way you can see how phases of waves change with new bars. It is good to observe some waves with different shifts to get an idea.
Michal,
Ahh, thanks! There is another piece of the puzzle...
I'll be working on some ideas for building on to the FFT indicator. Thanks for the encouragement and lets see what other interesting things we can learn.
Speaking of interesting things... I thought the EURUSD 1H (and others) were a little wacky Friday. They were pointing exponentially up. Look at the jump on the chart over the weekend... that's spooky, the cycles predicted it.
Carl
The windows dll file is from a different site. It is a freeware FFT library which I'm using for the indicator. Please go to my site to the download section and find there the reference for this library. I've didn't include this dll in the zip as it was too large for my web provider
hi,Michal
from here:MQL Service ?
whole "fftw-3.1.2-dll" folder?
all 20 files goes in Wind/syst32? no installation - just unzip(copy/paste)?
------------
just in case, fft links from mql codebase (Klot):
https://www.mql5.com/ru/code/9696
https://www.mql5.com/ru/code/10166
---------------------------------------------
Here everything should be installed:
fftfiltr.mq4 experts\indicators
ExpertSample.dll experts\library
sampledll.mqh experts\include
fftfiltr.tpl template
libfftw3-3.dll windows\system32
*------------------------------------------------
... - no windows dll file...here it' s
===================
Forex Indicators Collectionthanks; - so just libfftw3-3.dll (one file) in windows\system32
yeppp, it's works (if not in trmplete- "allow dll imports")
Thank you, P
Could someone please help me on how to use the indicator? what are the settings for TF 5? Thanks
I've know of Hurst, Clyde Lee, and Brian Millard. Brian Millards' work is among the best I've seen. Check out this page if you haven't seen his work yet: Brian Millard
In Brain Millard's Channels & Cycles written in 1999, he suggested a much simpler Maths method than Fourier Analysis to find the wavelengths of the price cycles and an more accurate method to extrapolate the Channels other than traditional polynomial regression. And now 2008, I just know Brain Millard adds Monte Carlo Simulation to his Channels & Cycles Analysis, another breakthrough in Technical- Quantitative trading, he is SO Brilliant!!!!!!!!
Thank you crodzilla for posting the link to let me have an eye-opening experience.