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Bill,
I do not understand the purpose of your reply.
Nobody said anything for the use of FFT for trading purposes. I have
exposed analytically in the past the reasons, have a look at the list
archives.
I present here an AFL approach for the Elementary Fourier Analysis,
the next step after the crude linear trend. The code is original,
free for the amibroker users and already placed in the files section
of this list.
MESA software, AFAIK, is a [well known] commercial product, there is
no reason to advertise it here, especially when it is not related to
the subject.
If you want to present this theory, please do begin a new thread.
Your comments on the AFL method will be appreciated and this is the
main reason of the presentation.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx> wrote:
> DT & Stephane:
>
> FWIW, the following blurb from Ehlers website raises some concerns
about FFT. Charts regarding FFT are on:
>
> http://www.mesasoftware.com/#FFT%20Comparison
>
> Bill
>
> 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.
>
>
>
> ----- Original Message -----
> From: DIMITRIS TSOKAKIS
> To: 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) 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
> > > > >
> > > > >
> http://groups.yahoo.com/group/amibroker/files/Elementary%
> > > > 20Fourier%20Analysis/fourier1.txt
> > > > >
> > > > > To learn more about file sharing for your group,
please
> > visit
> > > > >
> > > > > http://help.yahoo.com/help/us/groups/files
> > > > >
> > > > > Regards,
> > > > >
> > > > > dtsokakis <TSOKAKIS@xxxx>
> > > > >
> > > > >
> > > > >
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