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--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxx> wrote:
>
> You might consider using the built in FFT to get the dominant cycle.
It is
> much faster than Laguerre or other similar calcs.
>
> I have not compared the two for accuracy. I am sure they are both error
> prone based on how pure a cycle is at any given time.
I have some updated information. I was reading info Ehler's website
and he mentions that FFT is inappropriate for measuring dominant
market cycles. His reasoning is that market cycles change frequently
and FFT requires too many data point to get acceptable resolution.
What that means is FFT requires so many data points that they will
span the changes in dominant cycles giving inaccurate results.
I also discovered that I was not using a Laguerre filter to estimate
the dominant cycle but a Hilbert transform which uses 6 bars to
estimate the cycle. Ehler's MESA software uses between 6 and 50 bar
look back periods to get dominant cycle candidates, then he does a
center of gravity calculation to select the one that has the most power.
Bill
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