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> Robert and others. Thanks for all the codes! Keep them coming!
> Was wondering if anyone has Chande's VIDYA code? Also does anyone have a
> Fourier code for TradeStation? I am interested in playing with Fouier for
> cycles?
"Playing" with Fourier can be insidious:
- Any Fourier transform of a single time sequence of prices will
be meaningless. The variance of each Fourier component is just as large
as that component's value and you can't trust it. You CAN "window" to
reduce that variance, but it takes a number (say 10) time sequences
to produce a reliable Fourier spectrum.
- The Fourier transform of a time sequence produces complex-valued
(a + ib) Fourier components. Doubt that TS/Omega deal with complex
numbers in any handy way. Even C doesn't!
- If you use power spectral analysis, the results ARE real-valued,
but the "phase" information is lost. This means that time-shifts in
the market are lost in the analysis.
Now, Fourier analysis is easy to grasp conceptually, but Wavelet
Transforms may be more promising, in that they do retain the phase
information and yield an extra "dimension" in analysis beyond the
time and frequency information that Fourier gives.
Cheers,
Rob Lake
rbl@xxxxxxxxxxx
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