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Exactly. The usefulness of the information extracted is a function of it's use-ability as an input for trading decisions. With dominant cycle lengths changing every few bars how can we implement trading positions based on this input? Anybody used this successfully to call swing pivots and willing to share their technique? Just loud thinking and maybe it is without a logical base - Is it possible to extract the cycle length based on the DFT algorithm Tomasz posted on a weekly timeframe and then apply it to the daily timeframe by multiplying with 5(trading days in a week). Will that to some extent take care of the concern about the constancy of cycle length?
R
On 3/28/07, wavemechanic <fimdot@xxxxxxxxx> wrote:
As I think you suggest, neither is the Holy
Grail. FFT can certainly not compete in the resolution department with
MESA without invalidating the requirement of constancy of amplitude and phase
because of the need for large data lengths in order to achieve resolution.
So, using short data lengths MESA shoots for high resolution of short-term
cycles and knowingly accepts some statistical penalty. Even so its still
not Shangri La because short-term cycles will most probably not be present over
longer periods that are of interest to traders/investors. Ehlers
cleverly takes care of this by dividing the world into trending and
non-trending and arguing that short-term cycles will be a major player
in non-trending markets but not in trending markets (very useful
insight). He then throws in the towel and emphasizes trading in
trending markets (short-term trading is too tough?).
Bill
----- Original Message -----
Sent: Tuesday, March 27, 2007 3:42
PM
Subject: [amibroker] Re:
FFT
>
Not to get into semantics ... But yes and this is because one
> usually
uses MESA with shorter data samples where the shorter term
> cycles are
not overwhelmed by the longer cycles which typically have
> larger
amplitudes. While interesting for some things FFT's don't
> really
have particularly good granularity as cycle length approaches
> half the
size of the data being examined. MESA doesn't suffer from
>
this.
>
> --- In amibroker@xxxxxxxxxxxxxxx
,
"wavemechanic" <fimdot@xxx> wrote:
>>
>> 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@xxx>
>> To:
<amibroker@xxxxxxxxxxxxxxx
>
>> 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@xxxxxxxxxxxxxxx
,
"wavemechanic" <fimdot@> 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@xxxxxxxxxxxxxxx
>> >> 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@xxxxxxxxxxxxxxx
>> >> 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@xxxxxxxxxxxxxxx
>> >> 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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>> >>
>>
>>
>> >>
>> >>
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>> >>
>> >>
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