Adaptive digital filters - page 7
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
ZS, on the Alpari forum, BQQ has laid out in some detail why, in his opinion, as a DSP specialist, DSP methods are difficult to apply in the market. Quite lucid, in my opinion.
I had a bit of an argument with BQQ here http://forum.alpari-idc.ru/showthread.php?t=38804&page=16, if you don't mind, where he laid it all out. I just think that first of all a DSP specialist should know and understand (with all his soul) this theorem of Kotelnikov, it is like an axiom in geometry.
And to all if you can use the term sample rate please, for me the Neukvist frequency is a dirty word. It's from the area of who invented radio, Popov or Marconi, etc.
No, it seems not in that forum thread, in which you argue with him. I have not kept the link, in the spirit: read, realized - and ok.
What is the task? To get coefficients of approximating polynomial and adjust them according to ER from AMA? Here in codebase there is an example of polynomial approximation, but this case is redrawn, and if you draw only the end, the result is worse than the nastiest MA. Maybe something like T3 smoothing with all adapive coefficients.
I'm just picking on Yurik (like he's the best), so I suggested he should do something similar. Modify AMA and replace it with a procedure for calculating the average with something better (decent). Not necessarily a polynomial. I basically don't need it, but if someone wants to practice building something similar to JMA, I'm ready to help and the maths will be transparent. As for the black box, I don't think any of the long-time residents of this forum like to use it :-).
Prival
I apologise, I was not careful in my remarks. Personally, I never thought to express any doubts about your competence in DSP matters. I think the same is true for grasn (I hope grasn will forgive me for "signing off" on his behalf). It's about the very idea and methodology of research. Nothing personal. All authors who actively "dig mathematical methods" on this forum, I treat strictly positively, in view of the uniqueness of this community. And in view of the prospects that it (the community) have. But I can't agree with your suggestion because I completely disbelieve in polynomials as a tool that has some sort of "predictive power". We are talking about time intervals of less than a day, and you want to exploit your idea precisely at small intervals. I just do not see the reason, which will force the polynomial - in fact, absolutely adapted to the signal (according to some criterion) function, to make a forecast of price behaviour. Because the prediction will always be about 50\50. This is due both to the processes occurring in the "market" and to the form of representation of the signal, which in fact completely distorts the picture. You want to use DSP in trading - you're welcome, but first prepare adequate data for DSP. The "signal" itself is certainly present in the price, but. But the level of that signal (as Mathemat seems to have correctly pointed out) is many times less than the "noise" (although there is no "noise" in the "market"). Overlaying this is the non-stationarity of the signal itself. As a result, almost none of the traditional methods work. I don't think this is because DSP theory is wrong - of course it is, it's just that the signal here is completely different. A signal in which a huge part of the information is simply lost. And paradoxically, a great deal of information is simply unnecessary. You said that you are a military man, so treat it as a fact that all your devices are clogged with interference, behind which you cannot see the signal from the enemy aircraft. And that interference is of a very high quality. But if you go outside and look at the sky you will immediately see everything. It's true that aiming and shooting from the hip is not the best solution. :)
And thank you for the present, I will definitely find time to get acquainted with it.
to North Wind.
Thank you. And here "you need a simple and consistent enough concept of market life" - do you mean your own development or the use of some techniques like those described by Shiryaev?
to Candid
No problem, as well as for you, if you use an appropriate product. The main problem is in the preparation of the data. For DM you need the tuple to contain the studied parameters of the objects for which you want to find the patterns. For example, for waves, prepare the data this way:
But to prepare the data, I'm likely to get away with it :o)
PS: By the way, Candid - how do you feel about the prospect of cooperation in elaboration of the described model? Looks like you are the last interested one,Prival seems to have gone to the woods.
to Prival
They see, they see, but not always and not if they are not disturbed. And who else can they be afraid of? The Zulus, who have no systems at all. Of course us, because they still need an enemy, and can even be afraid, despite the fact that the number of our air defense systems is ridiculous and poses no real threat.
PS: Prival - for you a quote from a cartoon - "beaver - exhale" ... :o)
Prtival - you are not correctable :o).
to Piligrimm
I've tried it with all available in MathCad and MathLab and I wasn't satisfied with the result.
PS: your avatar isn't the "OM" sound symbolizing the Universe?
No problem, as it is for you, if you use the right product. The main problem is in the preparation of the data. For DM you need the tuple to contain the studied parameters of the objects for which you want to find the patterns. For example, for waves, prepare the data this way:
But to prepare the data, I'm likely to get away with it :o)
PS: By the way, Candid - how do you feel about the prospect of cooperation in elaboration of the described model? Because you seem to be the last interested,Prival seems to have gone into the doldrums.
You just seemed to mention earlier that you're not exactly using a free product.
The prospect of a collaboration can't help but inspire :). If you have a concrete plan ready, write and we'll discuss it. Or wait for a letter from me, but before writing I will need to think about this plan.
to grasn and rsi and all
I want to explain, because you have repeatedly attacked me for the slogan "Number rules the world". I brought it so that you could pay attention to it. You're smiling, but I don't think you fully understand what I'm talking about. I suggest that you make a very simple experiment. Suppose the price changes as a sine wave. Draw a sine on a piece of paper and put two reference points on it. Like this one.
Fig.1
That is, we have taken the Close minutiae and consider it to be a correct digitisation, see fig. 1. (blue marks). Everything looks nice and correct, and now think if the first tick has not come exactly at the end of the minute, but for example 2 seconds before the end of the minute, + the second tick was not at the end of the minute, but at the beginning. See Fig. 2 for the result. (blue counts stand differently on the time axis). So, it turns out that the sine waveform has changed, the frequency is wrong, the phase is wrong and everything is bad .....
Fig.2
Who can tell me which sine waveform is real? Or can you also give me a prediction, what will be the number at the next Close (even if it's strictly a sine wave)?
How many copies are already broken in the analysis of the Y axis (prices), and the X axis (time) is forgotten. Or they think it is OK. They take Close and go ahead. And as a result .... long and persistent searches and conclusions DSP does not work.
And let's write this acronym differently, so DSP. (DSP !!!) the only thing left to do is to define what the signal is. Do we not know how to process numbers like adding, subtracting, multiplying and dividing, what else do we have? Well, who here does not know DC, these complex operations.
You may still wonder why many DSP methods do not produce the results you expect from them. Maybe proper X-axis processing will improve many digital processing methods, starting with the simplest MA? And little is known about the signal (the useful component that moves the market).
And unfortunately money rules the world, not numbers.
Although I still undertake to prove to anyone (you can buy me a brandy, because I already owe many people :-)) that if between that "true" price, which no one knows, there is someone who can control the sampling rate, he can do whatever he wants. From an ordinary 100 MHz sine wave, you can make any curve you see on the screen. At least remember the movies, where the wheels go backwards and the cart goes forwards :-).
And that's why that beautiful phrase, "a number rules the world and the name of this number is sampling rate". It's not so bad. After all, by controlling this number, you can control the curve on the screen, i.e. the value (price) of money. And if money rules the world, then by controlling it, I will rule the world.
Z.U., what's that cartoon, "beaver-breath" I really want to see :-). And you can not get rid of me so easily, like Prival in the mire, do not wait :-).
And in the light of what I have written above, for me any DC will never be that almighty GOD who can slip me any figure at any time. They will be weak :-) It's hard to take a break from the fighting course :-)
2 Prival: it comes to mind that Kalman, according to you, is based on MNCs. Now I see why it works great on radar data (with Gaussian distributed errors), but - worse on market data. The main reason Kalman is perfect on Gaussian data is that the error function (target) - the sum of squares of variance in this case - is perfect just for the Gaussian distribution. For other distributions, the error functions are different. For distributions with power tails (heavy tails), the target functions are quite different, and MNC does not count here. This is why JMA is better than Kalman on market series.
Prival