Difference calculus, examples. - page 24

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The sinusoidal derivative of price is observed and maintained in the markets, but not according to physical rules.
 

Useful link in my opinion:

Forum on trading, automated trading systems and testing trading strategies

Indicators: volatility_Bar

Igor Makanu, 2020.01.07 15:32

https://www.mql5.com/ru/code/9869

//+------------------------------------------------------------------+
//| возвращает запрашиваемый фильтр с разной степенью сглаживания    |
//+------------------------------------------------------------------+
double SP(int i)
  {
//----
  double res;
  switch (SmoothPower)
    {
    case 1:
res=
  0.2926875484300*B1[i]
+0.2698679548204*B1[i+1]
+0.2277786802786*B1[i+2]
+0.1726588586020*B1[i+3]
+0.1124127695806*B1[i+4]
+0.0550645669333*B1[i+5]
+0.00733791069745*B1[i+6]
-0.02637426808863*B1[i+7]
-0.0445334647733*B1[i+8]
-0.0483673837716*B1[i+9]
-0.0412219004631*B1[i+10]
-0.02759007317598*B1[i+11]
-0.01206738017651*B1[i+12]
+0.001567315986223*B1[i+13]
+0.01094916192054*B1[i+14]
+0.01530469318242*B1[i+15]
+0.01532526278128*B1[i+16]
+0.01296015381098*B1[i+17]
+0.01157140552294*B1[i+18]
-0.00533181209765*B1[i+19];break;

      case 2:
res=
  0.2447098565978*B1[i]
+0.2313977400697*B1[i+1]
+0.2061379694732*B1[i+2]
+0.1716623034064*B1[i+3]
+0.1314690790360*B1[i+4]
+0.0895038754956*B1[i+5]
+0.0496009165125*B1[i+6]
+0.01502270569607*B1[i+7]
-0.01188033734430*B1[i+8]
-0.02989873856137*B1[i+9]
-0.0389896710490*B1[i+10]
-0.0401411362639*B1[i+11]
-0.0351196808580*B1[i+12]
-0.02611613850342*B1[i+13]
-0.01539056955666*B1[i+14]
-0.00495353651394*B1[i+15]
+0.00368588764825*B1[i+16]
+0.00963614049782*B1[i+17]
+0.01265138888314*B1[i+18]
+0.01307496106868*B1[i+19]
+0.01169702291063*B1[i+20]
+0.00974841844086*B1[i+21]
+0.00898900012545*B1[i+22]
-0.00649745721156*B1[i+23]; break;

      case 3:
res=
  0.2101888714743*B1[i]
+0.2017361306871*B1[i+1]
+0.1854987469779*B1[i+2]
+0.1627557943437*B1[i+3]
+0.1352455218956*B1[i+4]
+0.1049955517302*B1[i+5]
+0.0741580960823*B1[i+6]
+0.0448262586090*B1[i+7]
+0.01870440453637*B1[i+8]
-0.002814841280245*B1[i+9]
-0.01891352345654*B1[i+10]
-0.02929206622741*B1[i+11]
-0.0341888300133*B1[i+12]
-0.0342703255777*B1[i+13]
-0.03055656616909*B1[i+14]
-0.02422648959598*B1[i+15]
-0.01651476470542*B1[i+16]
-0.00857503584404*B1[i+17]
-0.001351831295525*B1[i+18]
+0.00448511071596*B1[i+19]
+0.00855374511399*B1[i+20]
+0.01076725654789*B1[i+21]
+0.01131091969998*B1[i+22]
+0.01057394212462*B1[i+23]
+0.00912947281517*B1[i+24]
+0.00771484446233*B1[i+25]
+0.00732318993223*B1[i+26]
-0.00726358358348*B1[i+27]; break;

      case 4:
res=
  0.1841600001487*B1[i]
+0.1784754786728*B1[i+1]
+0.1674508960246*B1[i+2]
+0.1517504699970*B1[i+3]
+0.1323034848757*B1[i+4]
+0.1102401824660*B1[i+5]
+0.0867964146007*B1[i+6]
+0.0632389269284*B1[i+7]
+0.0407389647190*B1[i+8]
+0.02035075474450*B1[i+9]
+0.002915227087755*B1[i+10]
-0.01100443994875*B1[i+11]
-0.02116075293157*B1[i+12]
-0.02747786871251*B1[i+13]
-0.03024034479978*B1[i+14]
-0.02988490637108*B1[i+15]
-0.02702558542347*B1[i+16]
-0.02236077351054*B1[i+17]
-0.01662176948519*B1[i+18]
-0.01050105629699*B1[i+19]
-0.00460605501191*B1[i+20]
+0.000582766458037*B1[i+21]
+0.00473324688655*B1[i+22]
+0.00766855376673*B1[i+23]
+0.00936273985238*B1[i+24]
+0.00991966879705*B1[i+25]
+0.00955690928799*B1[i+26]
+0.00857195408578*B1[i+27]
+0.00734849040305*B1[i+28]
+0.00634910972836*B1[i+29]
+0.00617002099346*B1[i+30]
-0.00780070803276*B1[i+31]; break;

      case 5:
res=
  0.1638504429550*B1[i]
+0.1598485090620*B1[i+1]
+0.1520285056667*B1[i+2]
+0.1407759621461*B1[i+3]
+0.1266145946036*B1[i+4]
+0.1101999467868*B1[i+5]
+0.0922810246421*B1[i+6]
+0.0736414430377*B1[i+7]
+0.0550613836268*B1[i+8]
+0.0372780690048*B1[i+9]
+0.02094281812508*B1[i+10]
+0.00658930585105*B1[i+11]
-0.00538855535197*B1[i+12]
-0.01474498292814*B1[i+13]
-0.02139199173398*B1[i+14]
-0.02541417253316*B1[i+15]
-0.02702341057229*B1[i+16]
-0.02647614727071*B1[i+17]
-0.02421775125345*B1[i+18]
-0.02065411010395*B1[i+19]
-0.01625074823286*B1[i+20]
-0.01145130552469*B1[i+21]
-0.00665356586398*B1[i+22]
-0.002196710270528*B1[i+23]
+0.001656596678561*B1[i+24]
+0.00473296009497*B1[i+25]
+0.00694308970535*B1[i+26]
+0.00827947138512*B1[i+27]
+0.00880879507493*B1[i+28]
+0.00865791955067*B1[i+29]
+0.00800414344065*B1[i+30]
+0.00706330074106*B1[i+31]
+0.00608814048308*B1[i+32]
+0.00538380036114*B1[i+33]
+0.00532891349043*B1[i+34]
-0.00819568487412*B1[i+35]; break;

      case 6:
res=
  0.1475657670368*B1[i]
+0.1446405411673*B1[i+1]
+0.1389042575727*B1[i+2]
+0.1305751002746*B1[i+3]
+0.1199864911731*B1[i+4]
+0.1075255410806*B1[i+5]
+0.0936615730647*B1[i+6]
+0.0788949093050*B1[i+7]
+0.0637465101034*B1[i+8]
+0.0487276238639*B1[i+9]
+0.0343174315294*B1[i+10]
+0.02094370638877*B1[i+11]
+0.00896531966221*B1[i+12]
-0.001341999129024*B1[i+13]
-0.00978712653663*B1[i+14]
-0.01627791183058*B1[i+15]
-0.02080151436502*B1[i+16]
-0.02343895781894*B1[i+17]
-0.02435214700067*B1[i+18]
-0.02376786389147*B1[i+19]
-0.02193912806308*B1[i+20]
-0.01912053352973*B1[i+21]
-0.01567028095913*B1[i+22]
-0.01183273845729*B1[i+23]
-0.00790611190014*B1[i+24]
-0.00412385952442*B1[i+25]
-0.000685399211775*B1[i+26]
+0.002260911767506*B1[i+27]
+0.00461801537249*B1[i+28]
+0.00633741616229*B1[i+29]
+0.00741961543986*B1[i+30]
+0.00790789206069*B1[i+31]
+0.00788111695823*B1[i+32]
+0.00745129870298*B1[i+33]
+0.00674985662064*B1[i+34]
+0.00593128562366*B1[i+35]
+0.00517071741994*B1[i+36]
+0.00467211882117*B1[i+37]
+0.00468906740665*B1[i+38]
-0.00849851236070*B1[i+39]; break;

      case 7:
res=
  0.1342157583828*B1[i]
+0.1320168704847*B1[i+1]
+0.1276873471586*B1[i+2]
+0.1213643729739*B1[i+3]
+0.1132520713460*B1[i+4]
+0.1036083698498*B1[i+5]
+0.0927280425508*B1[i+6]
+0.0809406915977*B1[i+7]
+0.0686105258715*B1[i+8]
+0.0560701395588*B1[i+9]
+0.0436869941553*B1[i+10]
+0.0317716835118*B1[i+11]
+0.02062340027452*B1[i+12]
+0.01049287508919*B1[i+13]
+0.001578073235404*B1[i+14]
-0.00597507422440*B1[i+15]
-0.01207707288043*B1[i+16]
-0.01669798399142*B1[i+17]
-0.01986198555101*B1[i+18]
-0.02164119825031*B1[i+19]
-0.02215230961811*B1[i+20]
-0.02155191142867*B1[i+21]
-0.02002808597329*B1[i+22]
-0.01778220203770*B1[i+23]
-0.01500325973440*B1[i+24]
-0.01187583268349*B1[i+25]
-0.00865026821576*B1[i+26]
-0.00543510816909*B1[i+27]
-0.002420531056597*B1[i+28]
+0.0002889057085442*B1[i+29]
+0.002599652575601*B1[i+30]
+0.00445344386830*B1[i+31]
+0.00582556501823*B1[i+32]
+0.00671941035514*B1[i+33]
+0.00716358274204*B1[i+34]
+0.00721108593431*B1[i+35]
+0.00693382886173*B1[i+36]
+0.00641737976071*B1[i+37]
+0.00576046002138*B1[i+38]
+0.00507417448638*B1[i+39]
+0.00448195239124*B1[i+40]
+0.00412727462648*B1[i+41]
+0.00418669196944*B1[i+42]
-0.00873780054566*B1[i+43]; break;

      case 8:
res=
  0.1230811432921*B1[i]
+0.1213830265980*B1[i+1]
+0.1180348688628*B1[i+2]
+0.1131248477390*B1[i+3]
+0.1067888736447*B1[i+4]
+0.0991886630563*B1[i+5]
+0.0905283970643*B1[i+6]
+0.0810323992972*B1[i+7]
+0.0709406523601*B1[i+8]
+0.0605028783409*B1[i+9]
+0.0499660517196*B1[i+10]
+0.0395768971912*B1[i+11]
+0.02956612933181*B1[i+12]
+0.02012982828450*B1[i+13]
+0.01146221166452*B1[i+14]
+0.00369983285522*B1[i+15]
-0.003038977187834*B1[i+16]
-0.00868021984873*B1[i+17]
-0.01318508621117*B1[i+18]
-0.01655096644715*B1[i+19]
-0.01881253249101*B1[i+20]
-0.02003063357865*B1[i+21]
-0.02029727780544*B1[i+22]
-0.01972188576919*B1[i+23]
-0.01843477354910*B1[i+24]
-0.01658081992154*B1[i+25]
-0.01430671529886*B1[i+26]
-0.01175302972849*B1[i+27]
-0.00904320119485*B1[i+28]
-0.00630514721661*B1[i+29]
-0.00369357675439*B1[i+30]
-0.001242693518572*B1[i+31]
+0.000926258391563*B1[i+32]
+0.002776968147451*B1[i+33]
+0.00426926013496*B1[i+34]
+0.00538851571708*B1[i+35]
+0.00613947934547*B1[i+36]
+0.00654179765073*B1[i+37]
+0.00663281051554*B1[i+38]
+0.00645954126814*B1[i+39]
+0.00608069576729*B1[i+40]
+0.00556313321406*B1[i+41]
+0.00497954512068*B1[i+42]
+0.00441241979276*B1[i+43]
+0.00395101867555*B1[i+44]
+0.00369891645504*B1[i+45]
+0.00378072162625*B1[i+46]
-0.00893024660315*B1[i+47]; break;

      case 9:
res=
  0.1136491141667*B1[i]
+0.1123130870080*B1[i+1]
+0.1096691394261*B1[i+2]
+0.1057837207790*B1[i+3]
+0.1007420961698*B1[i+4]
+0.0946599675379*B1[i+5]
+0.0876755484183*B1[i+6]
+0.0799429655454*B1[i+7]
+0.0716292336416*B1[i+8]
+0.0629123835413*B1[i+9]
+0.0539767262326*B1[i+10]
+0.0450048491714*B1[i+11]
+0.0361703734359*B1[i+12]
+0.02763520549089*B1[i+13]
+0.01955011451800*B1[i+14]
+0.01205357915205*B1[i+15]
+0.00525211553366*B1[i+16]
-0.000770477101024*B1[i+17]
-0.00593916191975*B1[i+18]
-0.01022805895137*B1[i+19]
-0.01361544672818*B1[i+20]
-0.01611640231317*B1[i+21]
-0.01776260795296*B1[i+22]
-0.01860554342447*B1[i+23]
-0.01871505916941*B1[i+24]
-0.01817487448682*B1[i+25]
-0.01707856129273*B1[i+26]
-0.01552770218471*B1[i+27]
-0.01362988259084*B1[i+28]
-0.01149332680480*B1[i+29]
-0.00921892385382*B1[i+30]
-0.00689459719023*B1[i+31]
-0.00459651305691*B1[i+32]
-0.002411870743968*B1[i+33]
-0.000431732873329*B1[i+34]
+0.001353807064687*B1[i+35]
+0.002857282707287*B1[i+36]
+0.00408190921586*B1[i+37]
+0.00501143566228*B1[i+38]
+0.00565074521587*B1[i+39]
+0.00601564306030*B1[i+40]
+0.00613066979989*B1[i+41]
+0.00602923574050*B1[i+42]
+0.00575258932729*B1[i+43]
+0.00534744169195*B1[i+44]
+0.00486457915178*B1[i+45]
+0.00435951288835*B1[i+46]
+0.00389329662905*B1[i+47]
+0.00353234960893*B1[i+48]
+0.00335331131328*B1[i+49]
+0.00344636014208*B1[i+50]
-0.00908964634931*B1[i+51]; break;

       default:
res=
  0.363644232288*B1[i]
+0.319961361319*B1[i+1]
+0.2429021537279*B1[i+2]
+0.1499479402208*B1[i+3]
+0.0606476023757*B1[i+4]
-0.00876136797274*B1[i+5]
-0.0492967601969*B1[i+6]
-0.0606402244647*B1[i+7]
-0.0496978153976*B1[i+8]
-0.02724932305397*B1[i+9]
-0.00400372352396*B1[i+10]
+0.01244416185618*B1[i+11]
+0.01927941647120*B1[i+12]
+0.01821767237980*B1[i+13]
+0.01598780862402*B1[i+14]
-0.00338313465225*B1[i+15];
    
    }
  return(res);
//----    
  }

 
Aleksey Panfilov #:

For every action, there is a trace in the present, which of course affects the future. :))))

I suggest in this thread without philosophy, let's just do mathematics, programming, testing, optimisation.

I would answer in another way. If Vasya broke his leg, he will limp in the future. This is an answer to a rhetorical question.

What is interesting here is not so much extrapolation as approximation. The point is that the market has certain, almost immutable regularities. Not everyone can notice them. An impartial formula doesn't care about this human flaw. It will calculate its own maths and draw you a smooth line without "noise". And, depending on the sample, it will allow even the most blind trader to notice these regularities. And they are the safest to make money on.

That's how it is. And forecasting the market is not a thankless business.

Regards, KAE.

It's a pity the branch is closed.

 
100001909601 #:
Great ungrateful business.

Sincerely, KAE.

It's a shame.

That's right.


"The fact is that the market has certain, almost unchanging patterns."

 
Aleksey Panfilov #:

Is Fourier64.dll commented out in your code, does it exist in real life? Or did you plan to write it? There are large FFT dll libraries online, with lots of entry points. I'm not going to figure it out. I am interested in the possibility to replace MQL-function MathFourier2() with it.

 
Edgar Akhmadeev #:

Is Fourier64.dll commented out in your code, does it exist in real life? Or did you plan to write it? There are large FFT dll libraries online, with lots of entry points. I'm not going to figure it out. I am interested in the possibility to replace MQL-function MathFourier2() with it.

I apologise, it was in Nikolai Semko's code

 
Edgar Akhmadeev #:

I apologise, it was in Nikolai Semko's code

I wrote it a long time ago. Very long ago. But it seems to do the same thing, only about two times faster. Since it is written in C++.

I do not advise you to use Fourier in any way in algotrading
 
Nikolai Semko #:
It's been a long time. A long time ago. But it seems to do the same thing, only about twice as fast. Since it's written in C++.

I do not advise you to use Fourier in any way in algotrading
Too long and expensive or what else?
 
Valeriy Yastremskiy #:
Too long and expensive or what else?
Firstly, resource-intensive calculation without recursive optimisation.
Secondly, it is impossible to achieve monotonicity (continuity) when adding a new value for calculation. In dynamics, the approximation line is always twitching, which gives chaotic multidirectional signals.
Thirdly, this method of optimisation is periodic and the extrapolation line always tries to go back. That is, it is suitable only for flat weather. But anything is good for a flat market, even Mashka.
 
Valeriy Yastremskiy #:
Too long and expensive or something else?

maybe he just doesn't know how to play it :-)

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