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been following the thread,
going back to the "better than macd bandpass" topic,
the best simple bandpass i could find was, no surprise,
jma velocity which is a FIR bandpass filter. it has one
important property that makes it valuable which is
the length parameter it will take = dominant cycle length
which simplifies buy and sell signal generation by a lot.
because of that jma velocity bandpass i found was
near best as a tunable FIR bandpass
filter, i even measured its freq response if
anybody's interested, which is not perfect by far.
lag in this case is not the problem at all but the main
problem is dcl measurement.
so i was wondering if anybody played with
the cyclical system concept based on
adaptive tunable bandpass ( tuning bandpass into dcl )or
multiple bandpass bank( switching banks based on dcl )?
i did not have enough oomph to finish
the former again primarily because could not find
a reliable way to forecast dominant cycle
length ( more of a measurement problem )
but i have tried the latter but not with a great
success either, again because of the dominant
cycle measurement problem.
note: dcl is the main input into any bandpass model.
the consensus is that anytime your work with bandpass
based systems you get stopped out on dominant cycle
measurement/forecasting, ie freq-time representation.
cycle is either don't persist enough to extract profits
after measurement lag ( measurement lag problem ) or
a cycle is simply not stable. while there are many known
ways to measure dcl, mesa, fft, cbf(jurik), hilbert, etc...
they are all measurement methods which i found not reliable
( either too much/little lag and to small/large error )
literature on ft forecasting is virtually non-existent.
the question is then what's a good way to measure
dominant cycle length with optimal lag and error?
how to minimize measurement lag and possibility
or forecasting near term dominant cycle length?
comments?
all i wanted to say.
bilo.
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