Fast Fourier Transform - Cycle Extraction - page 3
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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.
Yes. I have that book. I have done what he proposes manually in MT4, but it takes some time to get it right. I have been trying to figure out how to do it automatically. So initially I wanted to figure out the cycles. Then draw the bands, etc. etc. Not so easy. But I'm making some progress.
Your welcome. I've emailed Mr Millard to see what the status of the Channelyze(TM) project is.
Channelyze(TM)
NOTE: I am not affliliated with him or any of his companies.
Carl
Hi,
This is the dll file, the indicator does no trace cycle, I don't understand
!
Brian Millard...
Brian Millard emailed me back and let me know that the Channelyze(TM) product is ready to go. The web site is here. It looks awesome. 30-day trial available.
NOTE: Again, I am not in any way affiliated with that site or Brian Millard. Just an extreme enthusiast of wave theory.
Carl
i have nearly done every thing i could to run the indicator in my mt4 but it didnt worked
when i compiled it showed error
what should i do
I need the fft indicator which shows cycle on the chart
This is the respond to my email from Mr Millard
Channalyze has now been launched. It does contain Monte Carlo, Cycle, Channels, etc. It is not mechanical in the sense that it tells you instantly whether you should buy or sell. You have to do a little work on choosing, from the cycle scanned securities which are in a stable state and worth further examination.
Our new web site channalyze.com (still under development) gives further information and the product can be ordered via the Google Checkout button. Note that at the moment you cannot download the software. It is shipped with a 150 page manual and CD.
Regards
Brian Millard
Just finished observing the FFT indicator........so far i can't seem to find ways to use it
The whole lenght of the FFt line itself changes or repaints as it adapts to the moving current trend. The past historical line may look nice as if it predicted the flow of the trend however the line only shifted so as to adapt with the impending curves of price movement.
this indicator would be good if it were stable to maintain directional curves at certain few bars back however the whole line adjusts many bars behind.
this is just my opinion.
this indicator would be good if it were stable to maintain directional curves at certain few bars back however the whole line adjusts many bars behind.
this is just my opinion.For the indicator to be stable, the market must be stable in the given sampling window. The whole point would be to find a correct sampling window size to stabilize it. Therefore, there is a possibility in the indicator to shift him back in order to see if it is agreeing with the current sample.
On the other side, it is no point to look at it and state that it is repainting. Just look on spectrum output of your HiFi and you will see that it is moving and repainting. (This is FFT too). Your task would be to find a good tone to ride on. My indicator allows for tone searching, but some still need to know how he is searching and what looking for.
I think if somebody is serious in this indicator, he should take the sample code, see how the FFT+IFFT is called and construct his own selection.
wow...
Well, there sure is a lot to know about these cycle methodologies. I have read a lot of stuff over the last week or so. I have seen 3 or 4 different software packages that do what we need it to do as far as projecting cycles forward in time. Unfortunately those software packages are either restricted to a club/group for people with mega $$$ to spend on memberships, or the packages for sale are a couple thousand dollars.
I think I'll learn more if I try to do it myself.
So, I now need to find out the math behind the Bartels test, which is a statistical test to see how well an individual cycle fits with past data. The Bartels test will test the cycle for amplitude, phase and frequency and give a % result for fit.
So, the theory is to find the 5 or 6 highest ranked cycles (above 90% bartel rating) and use those to project forward in time.
If anybody has a college statistics textbook, see if the bartels test is in there. I've searched on-line but don't seem to find any references to the math used for it.
Carl
Well, there sure is a lot to know about these cycle methodologies. I have read a lot of stuff over the last week or so. I have seen 3 or 4 different software packages that do what we need it to do as far as projecting cycles forward in time. Unfortunately those software packages are either restricted to a club/group for people with mega $$$ to spend on memberships, or the packages for sale are a couple thousand dollars.
I think I'll learn more if I try to do it myself.
So, I now need to find out the math behind the Bartels test, which is a statistical test to see how well an individual cycle fits with past data. The Bartels test will test the cycle for amplitude, phase and frequency and give a % result for fit.
So, the theory is to find the 5 or 6 highest ranked cycles (above 90% bartel rating) and use those to project forward in time.
If anybody has a college statistics textbook, see if the bartels test is in there. I've searched on-line but don't seem to find any references to the math used for it.
CarlCarl,
Sorry to dissappoint you,using 5 or 6 cycles with high bartels doesn`t work.
I used them trough a software called cycletrends,and the results were not positive...main reason may be that FFT does not work very well for noisy time series data,so even if you limit yourself to the very high bartels cycles,the end result will be far below your expectations.
Potential solutions:
1-Smoothe the data and apply FFT to a "denoised" set.
2-Use Mesa algorithm,which is better than FFT for noise series...AND you have a digital filters generator in this forum,for free,that uses Mesa to find cycles.
3-Use Goertzel algorithm,which seems to be the best one for extracting cyclical components from noisy time series,then apply FFT to project them into the Future...check the following link,very interesting info on this system and on cycles in general....And you can start experimenting with the attached indicator.
Advanced Financial Engineering Mathematics applied to algorithmic trading of stocks and commodities by Dennis Meyers Ph.D
Regards
Simba
Thanks...
Thanks Simba for the info... no disappointment. At the very least I will learn something, and hopefully everyone who is interested in cycle analysis will. I am conviced to the core of my soul that cycle analysis can be used as a major part of any trading system. But as with anything, there is a right way and a wrong way to do it.
The CycleTrends v4 program is not the only program on the block. I've seen another half-dozen that look just as impressive if not more than CycleTrends.
There is a lot to learn, but I think it will be well worth it.
You and I are not that far off track really.
What I have done is write an indicator in MT4 that will remove the noise with an offset moving average as per Brian Millard, and export that to my external windows program that I wrote to continue with the analysis.
I will call FFT from my external program probably several hundred times in order to extract the cycles from the data. The problem that I saw was, the FFT gives different cycles for different data lengths of time. For example, a set of 5 highest amplitude cycles are different for 1000 bars and 2000 bars. So, what I want to do is step my data history starting at 500 up to 5000 bars, by 100, performing an FFT each time, then analyzing each set, throwing out the excess cycles that are close to being equal. That set is the set I wanted to perform a Bartels test on to verify the fit of 5 or 6 highest amplitude cycles. No, its not going to be perfect, but in theory you should at least be able to forecast a direction, and an approximate time for that direction to end.
All the above, I can do with my external-to-MT4 program. But I cannot find out the math behind the Bartels test, that I can put into a program. And, that is the key really. I'm not a math major, so I need to be able to use math functions that are built into most programming languages.
Yes I have seen the Goertzel indicator. I can easily add that to my external program for automatic analysis of any timeframe. I am contemplating that...
Carl