[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [amibroker] Re: Fourier Transforms



PureBytes Links

Trading Reference Links

In the member's page there are two more solutions (S&C traders tips) both based on digital filters. 

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Brian Wild
Sent: Tuesday, March 11, 2008 1:42 AM
Subject: Re: [amibroker] Re: Fourier Transforms

Hi Folks,
Just a few notes to add to existing comments on this thread
John Ehlers in 'Rocket Science for Traders' points out that while the FFT is a very useful tool in some applications, it is not well suited to identifying cycle components in market data. This is basically because you need a lot of data to get adequate resolution, but market data is not stationary (in the statistical sense) over long periods. Ehlers favours, among others, the maximum entropy spectral analysis (MESA) approach, and has some stuff on his website explaining how to do it.
There is another approach in the AFL library where the author sought a best fit sine wave to the data and you could check that out also, if it appeals.
 
brian W
----- Original Message -----
From: brian_z111
Sent: Tuesday, March 11, 2008 10:08 AM
Subject: [amibroker] Re: Fourier Transforms

Hello Renuka,

I don't have any experience of FTT - since no one else offers any
tips here is the best I can do.

(I do use cycles and waves but not in the way anyone else uses them -
at least not in the books I have read so far).

Perry Kaufman has a chapter on cycle analysis in his book 'New
Trading Systems and Methods' - it includes Kondratieff, Trigonometric
analysis, Fourier, Fourier in Excel, Hilbert, Ehler, Fisher - approx
a page or two on each.

I find he gives good brief summaries of most things trading - not
really introductory - a more intermediate or advanced interest is
assmumed - the content is enough to whet the appetite and
thebibliography provides follow up leads.

Also, if you do an advanced search in this forum - message body
contains "fourier transform" you will come up with some past
discussion and find the people who specialize in the topic e.g.

http://finance.groups.yahoo.com/group/amibroker/message/103614

Searching this forum has its limitations but it can be very fruitful
when using specific keyword searches e.g like searching for an AB
function by name.

Hope that will get you started.

brian_z

--- In amibroker@xxxxxxxxxps.com, renuka <pinkglassfairy@...> wrote:
>
> hi,
>
> can anyone tell me where i can learn abt FFT ...how to interpret it
i mean.
>
> thanx
>
>
> kmckiou <kmckiou@xxx> wrote: Hi!
> Has anyone used Fourier transforms (fft) to filter price data? I
tried
> the example provided in the description of fft and it worked as
> expected, but it is not being used as a filter - it is just
plotting
> the dominant cycle. I suspect the necessary building blocks are
present
> in this example, but my knowledge of Fourier transforms is pretty
weak,
> so, I thought I would ask if anyone had already coded a program to
> filter price data using transforms before I started hacking about.
>
> Thanks!
>
> - Kevin
>
>
>
>
>
>
> Om namah shivay
>
>
> ---------------------------------
> Explore your hobbies and interests. Click here to begin.
>

__._,_.___

Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html




Your email settings: Individual Email|Traditional
Change settings via the Web (Yahoo! ID required)
Change settings via email: Switch delivery to Daily Digest | Switch to Fully Featured
Visit Your Group | Yahoo! Groups Terms of Use | Unsubscribe

__,_._,___