How and where to set up a hedge fund? - page 15

 
Alexey Volchanskiy:

There are only indicators and they didn't even compile. I fixed one, but it's slowing down terribly, the minute bar on ticks counts for a few seconds. Attached, if you're interested, run it overnight

Judging by the fact that with #property strict they don't compile at all, made them before version 600 of MT4 ))

Here corrected with #property strict - where Implicit conversion from number to string add (string)... Where I need to move variable declaration from loop to the beginning of function...

Look, does it show the same thing now?

 
LRA:

Corrected with #property strict - where Implicit conversion from number to string add (string)... Where a variable declaration from a loop should be moved to the beginning of a function...

Look, does it show the same thing now?


Yeah, I just got bored with fixing )))) Let's have a look.

 
Alexey Volchanskiy:

Yeah, I just got bored with editing )))) Let's see.


Ran Goertzel_browser_5.4_nrp_M.ex4, speed is still killer slow, I've never seen anything like it, CPU load is 80%. I'll leave it overnight, only set a few days of testing.

 
Alexey Volchanskiy:

Started Goertzel_browser_5.4_nrp_M.ex4, speed is still killer slow, I've never seen anything like it, CPU is 80% loaded. I'll leave it overnight, only set a few days of testing.


Looked into the code, so they use dll with Hodrick Prescott Filter there, I won't run someone else's dll without source.

if (DetrendSmoothData==true)
              for(i = SampleSize; i >= 0; i--) values[i] = iCustom(NULL,0,"Hodrick Prescott Filter",FilterPeriod,Price,0,i)- iCustom(NULL,0,"Hodrick Prescott Filter", FilterPeriod1, Price, 0, i); 

I have translated this filter to MT4 from MQL5, it is lying in kodobase, if you have time, look it up or not. I'm very busy tomorrow, in a time crunch.

https://www.mql5.com/ru/code/14737

Hodrick-Prescott Channel
Hodrick-Prescott Channel
  • votes: 16
  • 2016.02.04
  • Alexey Volchanskiy
  • www.mql5.com
Индикатор рисует ценовой канал, используя Hodrick-Prescott Filter.
 
Alexey Volchanskiy:

Something I have read is that most hedge funds have almost no profits. Western people will eat it up, but here you have to show a profit at least above inflation, otherwise people will go to a bank like the Savings Bank - it is safer there.

About 3-4 years ago I was told by an investor who had his own production company that I only had a profit of 25% a year. If a trader or HF is guaranteed to bring me the same amount, I will agree, as there are no worries.


Data for 2016 - Hedge fund results

Files:
2n3d.png  433 kb
 

Took an oscillator and converted its Fourier data. Tried optimization on 4 hour charts, it takes a very long time to calculate.

Can we make Fourier transforms less resource intensive?

 
forexman77:

Took an oscillator and converted its Fourier data. Tried optimization on 4 hour charts, it takes a very long time to calculate.

Can we make Fourier transforms less resource intensive?


Use faster libraries. Intel has IPP, they've just made it free, it's got Fourier transforms, filters and other stuff :)) If you know how to hook it up, you'll gain tremendous amounts of money.

https://software.intel.com/en-us/articles/free-ipp

No Cost Options for Intel® Integrated Performance Primitives Library (Intel® IPP), Support Yourself, Royalty-Free
  • software.intel.com
Intel® IPP is an extensive library which includes thousands of optimized functions covering frequently used fundamental algorithms including those for creating digital media, enterprise data, embedded, communications, and scientific/technical applications. Intel IPP includes routines for Image Processing, Computer Vision, Data Compression...
 
Veniamin Skrepkov:


Data for 2016 - Hedge fund results


Interesting data, it confirms what I said about HF profits being units of interest per year. But for western investors it's not bad either with their rates.

 
Alexey Volchanskiy:

Use faster libraries. Intel has IPP, recently made it free? It's got Fourier, filters and everything else.) If you figure out how to hook it up, the gain is huge.

https://software.intel.com/en-us/articles/free-ipp


I'll give it a try) But it takes a long time to calculate Fourier, there are so many cycles? I'm just asking why, maybe I messed up something there myself?

 
forexman77:

I'll give it a try.) But, Fourier takes a long time to calculate, there are so many cycles? Just what I'm asking, maybe I messed up something there myself?


If simple FFT, it is long, N squared, if FFT, N*log(N)

Did you write the FFT yourself? There's an Alglib lib in the kodobase, it has FFT.

Reason: