|
interesting thought, but I don't think doing FFT on
weeky data will overcome the basic issues of FFT.
Unfortunately, my experience with MESA (at least
the version provided in Ehlers books) has not been useful either.
In particular, I dont get good separation of trend
and cycle modes. Seems cycle mode is valid after 2 complete "good looking"
cycles are gone by. This is of course not very useful as the cycles do not
continue forever.
I beleive the propriatary version (which is
different) is available from Trade Station and eSignal for 30 day free
evaluation.
There is only scetchy info in his books about the
proprietary version.
If anyone uses these platforms to trade with, you
might try and see if they are useful.
----- Original Message -----
Sent: Tuesday, March 27, 2007 8:03
PM
Subject: Re: [amibroker] Re: FFT
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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