Hi,
The FFT is generally used in electronic circuits as a signal processing device.There the main criteria is frequency and the application frequencies have a range (band width) for the application under test so there the signals can easily be processed to form a single wave type by using hormonics at each step to furthur refine the wave very efficiently.Using this on the stock markets is going to give teriffic lag as mentioned because our data sets have a huge range and also volatility.Even the end point FFT will give a lag.More over there are many varieties and mutants of the Fourier series (wavelet is one)which are designed for specific applications and they are quite complicated and logically thinking trying to apply them for our stock and commodities datasets i feel is not very efficient and also time consuming when there are other simpler methods around .I havent seen
much application of the Fourier or its derivatives in stock trading.
Try this simple 2 lines mathematic formula : should give better result than any Fourier series
Form some simple rules for this and you can use it for trading long term ,intermediate term short term and even day trading .The main thing is the rules.
Its a sort of multi guppy lines: And there is no need for extra memory.(tee hee).
+++++++++++++++++++++++++++++++++++++++++++++++++++++++++
for
( x=1;x <=6; x ++)
{
K=
EMA((H+L+C)/3,10);
S1=
2*(K-Ref(K,-1))/(K+Ref(K,-1));
RS=
100*EMA(S1,x);
Plot
(RS , "\nRSL_" + WriteVal ( x , 1.0 ) , colorTurquoise + x , 1 ) ;
//Graph0=RS;
}
PlotGrid
(-1,colorDefault);
PlotGrid
(0,colorDefault);
PlotGrid
(1,colorDefault);
GraphXSpace
=5;
+++++++++++++++++++++++++++++++++++++++++++++++++++++++++
For end of day quotes the values mostly range between -1 and +1 so we have a range .
Rules:1. The main slope is RSL-1.When RSL-1 and RSL-2 move very fast compared to their previous values they signify a peak (intermediate,long term, etc) depending on the time frame you are using.
Rule 2. Check for divergences:Mostly they never fail.
These are the basic rules.You can form some more by experimenting.Try for daytrading,with stop losses at previous top- bottom. works better for shorter time frame.
Using for different time spans:Just click on day , week , month,and intraday periods on your charts and you have your trading time frame.The rules are the same for all.
If you want to trade say daily look at the weekly chart and see if RSL-1 and RSL-2 with RSl-1 pulling away from the rest ,have made a sharp peak or trough and trade from there on the daily chart.
So simple.Easier than cranking the brain over some fourier.I would rather spend time with my fox-terrier.
BTW: This was basically Dimitris idea in another indicator i applied here.
Have fun.
----- N !!
bilbo0211 <bilbod@xxxxxxxxxx> wrote:
>> You asked TJ to implement FFT--guess which compiler he uses! <<
I guess Visual C++.
FFT has been around for forty years. There are many libraries
available. The fftw.org site has a list
(http://www.fftw.org/benchfft/ffts.html) of 40-50 (some free, some
not) that they benchmarked against for speed and accuracy. Any one of
them would work and I am sure some either come in binary form or work
with Visual C++.
Bill
