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DT & Stephane:
FWIW, the following blurb from Ehlers website raises
some concerns about FFT. Charts regarding FFT are
on:
<A
href="">http://www.mesasoftware.com/#FFT%20Comparison
Bill
<FONT
color=#0000ff>MESA COMPARED TO FOURIER TRANSFORMS:
FFT is the acronym for Fast Fourier Transform. FFT is a computer
algorithm to perform the Fourier Transforms rapidly. The correct use of Fourier
Transforms is subject to several constraints. First, the data must be stationary
(non-shifting) over the observation period. Secondly, an integer number of
cycles must be used in the analysis. The Nyquist theory of sampled data systems
states that there must be at least two samples per cycle. These constraints pose
a dilemma for analysis of price data.
For example, if we have data consisting of 64 points (64 days in
the market), the longest cycle we can measure is 64 days. The next longest cycle
is 64/2=32 days. The next longest available cycle is 64/3=21.3 days. The next
cycle is 64/4=16 days, etc. The 64 day data simply does not provide good
resolution to identify the cycles because there is a 5 day gap between measured
results right in the most active cycle region. The only way to increase
resolution is to increase the data length. However, if the data length is
increased there is a significantly lower probability that the cycle has not
shifted over the entire data length. In fact, it is downright unlikely.
Thus the use of FFTs for
trading is not advisable. MESA2002 accurately extracts short
term cycles using an adaptive short data length, and therefore MESA2002 should
be your cycle measurement method.
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<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
DIMITRIS
TSOKAKIS
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, May 14, 2004 12:43 AM
Subject: [amibroker] Re: DTFFT
Stephane,It is the total [cumulative] error that should
be minimum.The idea of this Elementary Fourier Analysis [let us use EFA
instead of FFT, because FFT concept is a bit different...] refers to the
whole history of the oscillator.Another procedure would be the
Sum(error,per) to reflect the last per days, but not for this
moment.If we have a faster code, we could add more sinusoidal summands and
drop the error below 1%.[!!]Dimitris Tsokakis--- In
amibroker@xxxxxxxxxxxxxxx, "Stephane Carrasset" <s.carrasset@xxxx>
wrote:> Dimitri,> > is it really important to keep
lastvalue in> error=LastValue(Cum(abs(y-detrend)));> >
because in c++ I can write the code without lastvalue, but of course
the result s different> > stephane> >
----- Original Message ----- > From: DIMITRIS TSOKAKIS
> To: amibroker@xxxxxxxxxxxxxxx > Sent:
Thursday, May 13, 2004 9:42 AM> Subject: [amibroker] Re:
New file uploaded to amibroker> > >
Stephane,> you may see now the comparison of my AFL
Elementary Fourier analysis > and the usual FFT. There
is a significant error decreament but, the > most
important, a much better fundamental period approximation.>
The sample was 921 bars of the Nikkei C1=MA(RSI(50),100); and the FFT
> analysis was executed in
DaDisp_SE2000.> Any suggestion to make my analysis faster
would improve the > sinusoidal approximation and would give
an interesting T/A tool> Dimitris
Tsokakis> --- In amibroker@xxxxxxxxxxxxxxx, "Stephane
Carrasset" > <s.carrasset@xxxx>
wrote:> > Dimitri, Perhaps I'll try to translate it in
c++ (this WE) to get > it faster...>
> But as I see you turn to be a master in looping> >
I think you must have a look to c++ programming with ADK because
> there is a math world that I would like to explore (
Adaptive > simulated annealing) <A
href="">http://www.ingber.com>
> > > > >
stephane> > ----- Original Message -----
> > From: DIMITRIS TSOKAKIS
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Thursday, May 06, 2004 9:47
PM> > Subject: [amibroker] Re: New file
uploaded to amibroker> > > >
> > Note also, to avoid any confusion, that
it is pure sinusoidal > > analysis and has
nothing to do with FFT, the 512 or 1024 or 2^n >
> points, the well known end point problems
etc.> > I believe the sinusoidal trend gives
interesting info in > combination >
> with the [available in AFL syntax] linear
trend.> > Dimitris
Tsokakis> > --- In
amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" >
<TSOKAKIS@xxxx> > >
wrote:> > > Stephane,>
> > Any ideas to make it shorter will be much appreciated
!!> > > We should *do* something instead
of waiting and waiting [and I > hope
> > > you agree...]>
> > Dimitris Tsokakis> >
> --- In amibroker@xxxxxxxxxxxxxxx, "Stephane Carrasset"
> > > <s.carrasset@xxxx>
wrote:> > > >
Ouah!!> > > > Dimitri, don't know how
many loops you have written, it takes > at
> > > least 2 minutes to be plotted on my
"old" computer...> > > > it seems here
we find an usage of c++> > > >
> > > > stephane>
> > > ----- Original Message -----
> > > > From:
amibroker@xxxxxxxxxxxxxxx > > >
> To: amibroker@xxxxxxxxxxxxxxx >
> > > Sent: Thursday, May 06, 2004 9:48
AM> > > > Subject:
[amibroker] New file uploaded to amibroker>
> > > > > > >
> > > > >
> > > Hello,>
> > > > > >
> This email message is a notification to let you know
that> > > > a file has
been uploaded to the Files area of the amibroker >
> > > group.>
> > > > > >
> File :
/Elementary Fourier Analysis/fourier1.txt >
> > > Uploaded by : dtsokakis
<TSOKAKIS@xxxx> > > >
> Description : >
> > > > > >
> You can access this file at the URL>
> > > > > >
> <A
href="">http://groups.yahoo.com/group/amibroker/files/Elementary%>
> > 20Fourier%20Analysis/fourier1.txt >
> > > > > >
> To learn more about file sharing for your group, please
> visit> > > >
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href="">http://help.yahoo.com/help/us/groups/files>
> > > > > >
> Regards,> > > >
> > > > dtsokakis
<TSOKAKIS@xxxx>> > > >
> > > > >
> > > > > > >
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