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Mark, it's always a pleasure to see something appear from you on
this mailing list.
I looked at your Crystal Radio trading system. Cool! In simpler
terms, you're measuring the amplitude envelope of a bandpass filter,
and your long/short state is simply the increasing/decreasing of
that amplitude. It looks like it'll work the same without the gain
parameter; not sure what that's for.
Anyway, this made me think of an idea: Your bandpass filter consists
of two RC circuits in series, one low pass and one high pass. RLC
circuits might work better here (and actually be more analogous to
a crystal radio). If one uses an RLC filter, one can improve the
bandpass response by driving it with a current source rather than a
voltage source; i.e. assume that the input prices represent current,
and then use the output voltage from the filter. Every time you
have a filter, pretend you have a current source that converts
voltage to current. This should improve the response of all the
filters.
This might be overly complex but it's something to think about.
-Alex
>To: tr-list@xxxxxxxxxxxxxxxxxx
>From: "Mark Johnson" <janitor@xxxxxxxxxxxx>
>Date: Tue, 14 Oct 2003 18:29:49 -0700 (PDT)
>Subject: [TR] An enjoyable research result
>
>Last week I gave a talk on futures trading using mechanical
>systems, to a bunch of Ph.D. candidates studying electrical
>engineering. To make it interesting and intuitive for them,
>I presented the trading systems as electronic filters which
>drive Light Emitting Diodes ("LEDs"), a green one that comes
>on when the system has a Long position, and a red one that
>comes on when the system has a Short position. A circuit
>schematic diagram of one such electronic filter may be viewed
>at this link (scroll down to Saturday May 31):
><http://www.turtletradingsoftware.com/forum/viewtopic.php?p=1753&highlight=circuit%2A#1753>
>
>This time around, I was talking to people whose research and
>specialty is radio frequency IC's. You know, "wireless":
>Bluetooth. 802.11. That kind of stuff. So I added a new
>filter to the talk, specifically aimed at their field of
>expertise. And, to my delight, the new filter-as-trading-system
>gave very nice trading performance.
>
>The new "radio inspired" filter has the same block diagram as
>a Crystal Radio, which you may have built in your youth. The
>block diagram is: Input -> Bandpass_Filter -> Rectifier ->
>Lowpass_Filter -> Output. In a radio the input is the antenna,
>the bandpass filter is the coil-and-capacitor tuned circuit,
>the rectifier is the crystal/diode, the lowpass filter is the
>condenser, and the Output is a pair of headphones.
>
>Well, if you turn that into a trading system where the Input
>is a set of Close prices of a commodity futures contract,
>and the output is a Green LED for long and a Red LED for short,
>you get a nice reward for your efforts.
>
>I'll point you in the general direction by giving you some free
>code written in PERL that implements the radio trading system
>using single contracts. It's on my website at mjohnson dot com
>within the downloadable source code archive file pgms.zip .
>The radio trading system is in that archive, stored as radio.pl.
>Output results (results obtained testing it with PERL, not TR)
>are also downloadable in the file rslt.zip .
>
>Maybe it'll be useful or amusing to you, I hope so. Maybe it'll
>inspire you to recode the system in TR and change it around a little,
>either the entry/exit rules or the parameter values or the position
>sizing algorithm. If you do, my guess is you'll be pleasantly
>surprised. Please remember that you got my code for free and you
>are entitled to all the software support that you paid for, i.e. none.
>It's unsupported free software. If you need help coding this
>in TR, or if you need help debugging, or if you need help
>learning to use TR effectively, or if you need help because you
>bought TR but you're not really a programmer, I will be happy to
>refer you to a group of expert professionals. They can probably
>help with whatever problem you're having, at a very reasonable
>hourly rate of pay. But I hope you choose to do the work yourself
>and have your own fun.
>
>Best wishes,
>-Mark Johnson
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