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DT:
I think it reasonable that anything on this board most
probably will be assumed by many to be related to trading. I certainly
read this board in that light and, therefore, associated comments regarding
trading are, imo, appropriate.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
DIMITRIS
TSOKAKIS
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, May 14, 2004 12:06 PM
Subject: [amibroker] Re: DTFFT
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:> > <A
href="">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) <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>
> > > > >
> > > > <A
href="">http://help.yahoo.com/help/us/groups/files>
> > > > >
> > > >
Regards,> > > > >
> > > > >
dtsokakis <TSOKAKIS@xxxx>> >
> > > > >
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