Requests & Ideas - page 38

Mladen Rakic
163288
Mladen Rakic  

yuhu

I do not know what should "t" contain, but here is an example how to do it

#define pi 3.141592653589793238462643383279502884197169399375105820974944592

double t = Close[0]; // or any value that t variable should contain

double result = MathLog((t+0.5)/(t-0.5))/pi; // in metatrader MathLog calclates natural logarithm (ln) so no conversion needed

just make sure that (t+0.5)/(t-0.5)is > 0 and it will be OK

regards

Mladen

yuhu:
Hi Guys

Can someone code a function that does this equation, please.

It seems simple enough, but have no idea when to start. I have tried looking at some examples from Mladen's code, however still no clue.

Thank you very much in advance.
yuhu
89
yuhu  

Hello Mladen

Thank you.

It is that simple.

but, why is it that everytime i look at your code, the functions consist of so many lines? especially with the variable work.

If you have sometime, can you show me the mathematical equation for your hilbert transform? I just wanna compare how you translate the equation into code.

of course if thats alright with you, and if you have some free time.

Thank you in advance!

Rikers
12
Rikers  

Hi,

I've been looking into the denoising the time series some time and found that the most activities in forex forums was revolving around MA ( mostly jurik and hull) or frequency decomposition and filtering. I was wondering is there any movement towards Wavelet Transforms or specifically Daubechies denoising algorithm? It seems that there is no time lag in it but some tricks must be applied to compensate for distortion in very ends of the transformed signal.

Anyhow there is a MATLAB implementation of different wavelet algo. if one wants to take a look. Imo tis type of transform would be great to denoise the signal before implementing it into the RSI, stohastic or similar indicator.

MrM
271
MrM  
mladen:
MrM

This should do it

It is the end-point hma variation of Hodrick-Prescott filter. As in the previous ("pure" Hodrick-Prescott filter) end-point version, it is drawing 2 values : end-point value (violet line) and the "regular" value (dotted line) so one can compare the 2.

The "unusual" parameter is ShowParametersAsComment: it is there to make comparisons with other indicators possible. As before if you enter any value > 0 in Lambda field, it will use that value and calculate Filter period from Lambda, otherwise it will use Filter period and calculate lambda from Filter period. If you set the ShowParametersAsComment to true, it is going to write those values out so you can use them in comparison to other indicators (since I guess that it is what you are having in mind - as a quick comparison, try half filter period regular Hull moving average, but I did not find anything similar to the "regular" value yet)

PS: this one needs the dll from a couple of posts ago in order to work as it should

regards

Mlden

Thanks man.

Too bad that end-pointing never seems to be a good solution..

Mladen Rakic
163288
Mladen Rakic  

MrM

Even though I like the FilterPeriods presentation better, there is no guarantee that even within the period bars values are going to stay stationary (here is one quote of HP filter :
Analysis is purely historical and static (closed domain). The filter has misleading predictive outcome when used dynamically since the algorithm changes (during iteration for minimization) the past state (unlike a moving average) of the time series to adjust for the current state regardless of the size of lambda used.
So, according to that and since lambda conversion to periods is an approximation of the bars, there is no guarantee that it will stay "as is" even out of filter period bars back. Will check this more thoroughly (frankly, I did not spend time enough with HP filter to know all of it) and if I find some different info, will get back to this theme

_____________________________

Now I have one plea too

I found this site : The Wavelet Digest :: Index (even though their forum is spammed by Russian spammers misusing the fact that the forum admin obviously does not know Russian, it has some very useful info - like the Gallery->Tutorials page with links that leads to a wealth of very serious information on the theme)

My plea is if anyone knows something similar, please share the link here.

regards

Mladen

hughesfleming
273
hughesfleming  
biddick
339
biddick  
brax64
158
brax64  

need alerts...!

Hello everybody,

Should be possible to add an alert (Pop up, sound, etc) when the macd cross his signal line?

Thanks a lots!

brax64

biddick
339
biddick  

Mladen ,

Also check this one out: non-decimated haar wavelet transform, I read that it is very suitable for financial time series,Ninjatrader discussion http://blog.bigmiketrading.com/2010/02/wavelet-indicator-for-ninjatrader-7.html and algorithm does not change when the new data arrives Non-decimated wavelet transform

bebeshel
519
bebeshel  

"3 line Break" in subchart

Mladen you could do "3 line Break" in subchart?

Thanks

Files:
3lb.jpg 59 kb