|
PureBytes Links
Trading Reference Links
|
--- In equismetastock@xxxxxxxxxxxxxxx, "formulaprimer"
<formulaprimer@xxxx> wrote:
> I wanted to use it like the fisher transform but from what I
> understand it is better used for smaller sample sets. Maybe using
> multiple diminsions or matices it can simulate genetic algorism.
> Like parenting. To difference parents combine to generate multiple
> outcomes, but only one fits the data the best or maybe forecast
> method. Maybe you can't even use the Hotelling Transform for
trading
> <SNIP>
The "Hotelling Transform" is a tiny corner of a vastly "larger"
universe of techniques. One big "chunk" is 'Orthogonal Functions'.
The variety of orthogonal functions (i.e. basis functions)is
defacto 'uncountable'. VERY many (with appropriate "twiddling") can
be applied to time series analysis. The "easiest" forms to apply are
orthogonal poynomials - Legendre, Tchebychev, Hermite, Meixner,
Gegenbauer, etc. ad infinitum. The trigonometric varieties like DCT,
Fourier, etc. are only different in their basis functions. The down
side to the 'trig' type is the basis functions do not have 'compact
support' (unlike wavelets and all their kin) while the series or
signals they are applied to are of finite extent.
Regardless, actually CALCULATING the coefficients for an orthogonal
decomposition of a 'time series' leads inevitably to Singular Value
Decomposition (SVD) of Covar matrices (and/or other structures!). SVD
BY ITSELF can be used (powerfully, usefully, and sucessfully)
towards 'decomposition', 'noise reduction', 'smoothing' and all the
other goals that simple garden variety "tools" like moving
averages, "oscillators", etc. are pretenders to. I might add
that "properly" decomposed time series (financial or otherwise) can
produce particularly eye opening inputs for Neural Network prediction
models and are very useful for PLS-2 (Partial Least Squares 'Two')
regression models. It is truly endless. If anyone is interested, I
can recommend (perhaps send) a variety of references and resources on
these and related matters. I have a write-up overview on how a great
deal of this 'stuff' can be applied in practice.
Finally, I have several/many of the techniques converted into
Metastock DLLs. Out of respect to the members of this forum I have
not "advertised" these things. If one has persisted in reading this
far and has interest contact me via e-mail and I can offer more info
on what I am developing, thinking about, etc.. I am most definitely
NOT in the trading software business, nor do I intend to be.
Regards,
WACG
------------------------ Yahoo! Groups Sponsor --------------------~-->
Try Online Currency Trading with GFT. Free 50K Demo. Trade
24 Hours. Commission-Free.
http://us.click.yahoo.com/DldnlA/9M2KAA/U1CZAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|