Re: [amibroker] Re: FFT, AmiBroker Email List Archive

I tried the FFT that Tomasz wrote with John Ehlers' filter and also the code from Ehlers' book "Cybernetic Analysis of Stocks and Futures.

Comparing the dominant cycles, they are quite different from each program!!!

Can anyone resolve the differences? Is either one "correct enough" to be useful?

Ara

----- Original Message -----

From: Tomasz Janeczko

To: amibroker@xxxxxxxxxps.com

Sent: Tuesday, March 27, 2007 12:04 PM

Subject: Re: [amibroker] Re: FFT

Hello,

Please make sure to check this article:

http://www.amibroker.com/members/traders/01-2007.html

as it presents improvement over Fourier transform.

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: wavemechanic

To: amibroker@xxxxxxxxxps.com

Sent: Tuesday, March 27, 2007 8:50 PM

Subject: Re: [amibroker] Re: FFT

Yes, that's right - handle is the wrong word and should be find, reveal, uncover, etc. This ability is of particular interest to short-term traders.

Bill

----- Original Message -----
From: "Fred" <ftonetti@xxxxxxxxxxnet>

To: <amibroker@xxxxxxxxxps.com>

Sent: Tuesday, March 27, 2007 2:04 PM

Subject: [amibroker] Re: FFT

> MESA doesn't really have the ability to handle shorter cycles per
> se ...
>
> What it does have is the ability to pull cyclical information out of
> shorter samples of data.
>
> --- In amibroker@xxxxxxxxxps.com, "wavemechanic" <fimdot@xxx> wrote:
>>
>> No, I'm not saying that MESA will give better results than
> a "better" FFT (is MESA a "better" FFT?). That judgment cannot be
> made until you leave the hypothetical and have a "better" FFT to
> talk about. Until then statistics help identify valid cycles and
> MESA offers some advantages, including noise filtering and ability
> to handle shorter cycles. Good luck in your search.
>>
>> Bill
>>
>> ----- Original Message -----
>>   From: Ton Sieverding
>>   To: amibroker@xxxxxxxxxps.com
>>   Sent: Tuesday, March 27, 2007 3:24 AM
>>   Subject: Re: [amibroker] FFT
>>
>>
>>   So what you are saying is - 'Beyond that one can go to MESA' -
> that even after I should have found whatever modified version of
> FFT, MESA will give me better results. In other words, why playing
> with FFT if MESA is the right way to go. Is that your opinion or am
> I missing something ?
>>
>>   Ton
>>
>>
>>     ----- Original Message -----
>>     From: wavemechanic
>>     To: amibroker@xxxxxxxxxps.com
>>     Sent: Monday, March 26, 2007 2:42 PM
>>     Subject: Re: [amibroker] FFT
>>
>>
>>
>>     The restrictions associated with FFT that Ehlers mentions can
> be found in any textbook. As for better results with FFT, the next
> step is to evaluate the cycles statistically (e.g., Bartels, F-
> ratio, chi-square, etc.). Beyond that one can go to MESA and such.
>>
>>     Bill
>>       ----- Original Message -----
>>       From: Ton Sieverding
>>       To: amibroker@xxxxxxxxxps.com
>>       Sent: Monday, March 26, 2007 2:58 AM
>>       Subject: Re: [amibroker] FFT
>>
>>
>>       Frankly for me these are John Ehlers typical arguments to
> use his MESA model in stead of FFT and has nothing to do with a
> discussion. The question for me still remains if there really is no
> way to get better results with FFT than the ones we have got ? If
> Fourier analysis is correct and it's possible to simulate whatever
> continues timeseries with a bunch of sinewaves and if MESA can give
> me the correct harmonics, it should also be possible to obtain the
> same results with a modified version of FFT. Question is how ?
>>
>>       Ton Sieverding.
>>
>>         ----- Original Message -----
>>         From: wavemechanic
>>         To: AmiBroker, User
>>         Sent: Monday, March 26, 2007 1:27 AM
>>         Subject: Re: [amibroker] FFT
>>
>>
>>
>>         There is a discussion of FFT use and problems on Ehlers
> MESA website:
>>
>>         http://www.mesasoftware.com/fftcomparison.htm
>>
>>         Bill
>>
>>         ----- Original Message -----
>>           From: Ara Kaloustian
>>           To: AB-Main
>>           Sent: Sunday, March 25, 2007 3:16 PM
>>           Subject: [amibroker] FFT
>>
>>
>>           I was playing with AB's FFT code that TJ provided...
>>
>>           The cycles seem to shift relative to the data, based on
> how many data points are analyzed. This is of course expected.
>>
>>           Question:
>>
>>           Has anyone found a way to determine optimum number of
> data points to analyze, and then determine the relevance of the
> dominant cycle, or find any relevant cycles?
>>
>>           Most of the time the dominant cycle seems to be the
> largest one available.
>>
>>           Has anyone been able to use these cycles succesfully?
>>
>>           Ara
>>
>>
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