PureBytes Links
Trading Reference Links
|
> I would recommend Ehlers book Rocket Science for traders. In it he
> explains filters from a signal processing point of view.
Fascinating reading to be sure. But I'm not at all convinced his
methods are that effective.
Everything in that book is based on his Homodyne Discriminator, which
determines the current angle/phase of the market cycle. He builds
off that to create all kinds of indicators and systems.
But as far as I can tell, using the Homodyne Discriminator to
determine the current market cycle is about like using a 1-bar
momentum to determine the current slope. Yes, you do get a slope,
and over time it does average out to roughly the right answer. But
it's so noisy as to be useless for real trading. Ehlers' HD is also
extremely noisy and he includes smoothers in every indicator to try
to deal with that. Still the result is MUCH noisier than an
equivalent FFT or similar cycle measurement.
Is it useful? Yes, Ehlers includes systems &etc to demonstrate that
it really does work. Does it work better than simpler methods?
Ahhh, now that's a more interesting question...
Gary
|