Predicting the future with Fourier transforms - page 12
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satop, beautiful )
If it's not hard to predict where the jap will go by tonight.
on the market ....
on the market ....
very clever.
satop, beautiful )
If it's not hard to forecast where the Japanese will go by tonight.
I wouldn't advise opening on the Japanese at the moment.
The Jap is at a complete loss, he hasn't decided where to go yet...
Maybe we should not predict the price, but a price indicator like the MACD, where waves are sure to occur.
Well, it's just waves, i.e. smoothed price, so waves are more visible there.
Here is an example of using the spectrum to identify periodic components
Above is a graph of the price (or rather the kinematic error of the machine ;-)) - 2048 points, and below is a spectrum of 1024 harmonics.
The 5, 150 and 500th harmonics are clearly marked.
Knowing the frequency, amplitude and phase, we can predict the price movement by adding several harmonics with the highest amplitude.
However, all this is true only if the harmonic parameters are preserved for some time, i.e. do not depend much on the window shift (sampling) along the time axis.
This must be checked.
Besides, there may be gaps on the price chart caused by strong news movements, interventions, etc. These "gaps" make noise on the spectrum.
Knowing the frequency, amplitude and phase, it is possible to predict the price movement by adding up several harmonics with the highest amplitude.
But all this is true only if the harmonic parameters are preserved for some time, i.e. do not depend much on the window (sample) shift along the time axis.
This must be verified.
I checked it. The signal spectrum is constantly changing. So do the fundamental harmonics. And it is impossible to say how long a given signal spectrum with those basic harmonics will last. That's the problem.
In general, it is best to "predict" profit. There is no point in predicting any indicator as it has many false entries.
I agree, but if you know the future behaviour of at least such an indicator, it's a huge advantage, except that it's impossible
I agree, but if you know the future behaviour of at least such an indicator, it's a huge advantage, except that it's not possible
If you know Close[-1] it's a huge advantage, but it's impossible :) .
I agree, but if you know the future behaviour of at least such an indicator, it's a huge advantage, except that it's impossible
Nope. Any indicator will lose out over time - due to false entries. Predicting it ahead for 1-2-3 bars and entering the market by it, at first glance it seems that you will win. But it only seems, if you do not take into account these very false entries. So, you will open profitable and losing positions earlier by the same 1-2-3 bars. So there will be no profit, as the profit will be greater due to early entry, and the loss will be greater, too, due to early entry. Plus you will get the "mistake" of forecasting, which will play not in plus but in minus (as usually), because you should understand, that it is impossible to forecast without error. And plus - the MM can play its negative role. )))
If you know Close[-1], it's a huge advantage, except that it's impossible :) .
You don't have to know Close[-1]. It is enough to know the direction. Or to find entry points (reversal) in the reversal TS. ))))
Checked. The signal spectrum is constantly changing. So do the fundamental harmonics. And there's no telling how long a given signal spectrum with those basic harmonics will last. That's the problem.
I'll have to play around with that too. For example, how long the fundamental harmonics live on minutes. Window of a week is too big, there will probably be all sorts of minute harmonics in equal proportions.
But in a window of, say, 16-32-64 minutes? That is, take a window width of ~ an hour (64 min.) And move it, shifting by 1 min. Probably, during some periods pronounced harmonics would appear, and then gradually disappear and "overflow" into other harmonics.
If the lifetime of such harmonics is enough, it may be possible to earn profit by opening at one extreme and closing at the other. But then again if some MM does not decide to sell/buy a large lot of currency at that moment J8-(ah!)