Discussion of article "Moving Mini-Max: a New Indicator for Technical Analysis and Its Implementation in MQL5"

 

New article Moving Mini-Max: a New Indicator for Technical Analysis and Its Implementation in MQL5 is published:

In the following article I am describing a process of implementing Moving Mini-Max indicator based on a paper by Z.G.Silagadze 'Moving Mini-max: a new indicator for technical analysis'. The idea of the indicator is based on simulation of quantum tunneling phenomena, proposed by G. Gamov in the theory of alpha decay.

Figure 2. Final version of Moving Mini-Max indicator

Author: investeo

 

I'll be the first.

I looked at the original publication of Sigalazde, unfortunately he does not give the conclusions of the equations.... but not the point: based on my student experience with quantum mechanics I can say that this conclusion is probably quite simple)))).

Now some remarks and sketches.

Параметр m - это ширина окна сглаживания, которая в нашем случае характеризует способность мяча проходить через маленькие препятствия.


Generally speaking, the primary source interprets this parameter as "the inverse of the ball mass". I.e., depending on m (let's remember the basics of quantum mechanics:))), the uncertainty of the energy required to drag the ball under the potential barrier changes. It seems to me that rigid setting of this parameter is one of the reasons for frequent false signals. This can be justified by the fact that there are values on the market that are analogues of mass and, like the latter, characterise inertness. In the first approximation we can consider the amount of funds available to market participants as such value, in the next - their readiness to make certain decisions (market expectations). We can't estimate these factors directly from the chart, but there is a possibility to use at least the data on trading volumes. Depending on this, we can fine-tune the m parameter. I think it is worth a try.

Still, I would like to see the calculations - from what model Sigaladze proceeded. After all, by and large, the ball should overcome a potential barrier located "perpendicular to the market", on the energy axis, i.e. where the participants place orders/ You can see these potential barriers clearly here: http://fxtrade.oanda.com/analysis/historical-open-orders. I would solve this problem using quantum methods! And Sigaladze (it seemed to me so) makes some rather rough approximation, trying to project energies on the price axis. Hence there may be a mess: perhaps it is worth to apply some quadratic transformation to prices before processing in order to bring the coordinate representation closer to the energy one.

Thanks for the article in general, I once undertook a similar research, but either I got lazy or switched to something else)))

I ask others to comment too.

Historical Open Orders | OANDA
Historical Open Orders | OANDA
  • www.oanda.com
Buy Orders Sell Orders Net (Buy - Sell) Orders Net (Buy - Sell) Orders Cumulative How to Read the Graphs Each graph uses a color palette to depict percentage* of orders** placed at different price levels around the market price (the black line). There are four graphs for each selected currency pair and time period: Buy Orders: shows...
 
alsu:

Generally speaking, the primary source interprets this parameter as "the value of the inverse of the inverse of the mass of the ball".

Thanks, corrected to:

The parameter m is the width of the smoothing window, this parameter makes sense as a value inverse to the mass of the ball, it allows you to control its "penetration capacity".

 

Thanks to the author for the article!

В будущем я надеюсь представить более интересные технические индикаторы и их реализацию на MQL5.

I would like to see also an article of your performance about Hilbert-Huang transform (HHT).

Hilbert–Huang transform - Wikipedia, the free encyclopedia
Hilbert–Huang transform - Wikipedia, the free encyclopedia
  • en.wikipedia.org
The Hilbert–Huang transform (HHT) is a way to decompose a signal into so-called intrinsic mode functions (IMF), and obtain instantaneous frequency data. It is designed to work well for data that is nonstationary and nonlinear. In contrast to other common transforms like the Fourier transform, the HHT is more like an algorithm (an empirical...
 
Joo:

Thanks to the author for the article!

I would like to see also the article of your performance on the Hilbert-Huang transform ( HHT ) .


Hi, thank you for your feedback. I have just started to learn Russian, so I will reply in English: I will scan through http://www.amazon.com/Hilbert-Huang-Transform-Applications-Interdisciplinary-Mathematical/dp/9812563768 and see what is inside :-)

Best Regards,

Investeo

The Hilbert-Huang Transform and Its Applications (Interdisciplinary Mathematical Sciences): Norden E. Huang, Samuel Shen: 9789812563767: Amazon.com: Books
The Hilbert-Huang Transform and Its Applications (Interdisciplinary Mathematical Sciences): Norden E. Huang, Samuel Shen: 9789812563767: Amazon.com: Books
  • reviews: 1
  • www.amazon.com
The Hilbert?Huang Transform (HHT) represents a desperate attempt to break the suffocating hold on the field of data analysis by the twin assumptions of linearity and stationarity. Unlike spectrograms, wavelet analysis, or the Wigner?Ville Distribution, HHT is truly a time-frequency analysis, but it does not require an a priori functional basis...
 
investeo:

Hi, thank you for your feedback. I have just started to learn Russian, so I will reply in English: I will scan through http://www.amazon.com/Hilbert-Huang-Transform-Applications-Interdisciplinary-Mathematical/dp/9812563768 and see what is inside :-)

Best Regards,

Investeo

Greets,

Try this one before paying $156 http://keck.ucsf.edu/~schenk/Huang_etal98.pdf

 
He's redrawing the whole story. It's too much. 30 min EURUSD today.
Files:
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Please make this indicator on mq4 .
 

I wonder if your indicator will also show trends on a purely random rate (chaotic wandering model or coin rate)?

Will the indicator distinguish between knowingly trending and anti-trending rates?

Or quantum mechanics is cunning enough to sense the nature of the rate?

 

Awesome idea I really like it, going to do some backtests with this!

Good job! 

 

It's a very interesting article. Thanks to the author.