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PureBytes Links
Trading Reference Links
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John Ehlers has a couple of books published that
provide a lot of information.
Also on his web site, (mesasoftware) he has a lot
of articles that pretty much secribe everything from his books. His books do
contain his latest ideas.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, May 14, 2004 8:00 AM
Subject: RE: [amibroker] Re: DTFFT
<SPAN
class=018055914-14052004>Has anyone done anything MESA-like in AFL? Does
anyone know anything about MESA's internals beyond this?
<SPAN
class=018055914-14052004>
<SPAN
class=018055914-14052004> <A
href="">http://www.mesasoftware.com/#How%20MESA%20Works
<SPAN
class=018055914-14052004>
<SPAN
class=018055914-14052004>Dave
<SPAN
class=018055914-14052004>
<BLOCKQUOTE dir=ltr
>
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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