Thanks David, you are right there is something wrong with the wavelet code now. Sorry, should have tested it before I posted but I don't remember changing anything since the last time I used it
I will check it out and post an updated version soon
BTW.. have you read that entire thread on optimized trend trading? I read through it a while back. It is quite hilarious really, when CB is exposed =p
He is a smart guy and most of his advice is still relevant IMO, but be aware that he is a vulture. He lures other traders with original ideas into to collaborating with him and then steals their work, there are several posts about him on TSD forum from guys who got burned, sad really considering that he is smart enough to figure it out on his own.
Yes I saw that and also I think his equity curves are very suspect too.
However the signal processing concepts discussed there are very informative , although mostly way over my head.
I'm starting to think that a DSP approach is the golden key to automated system design. In fact I was talking to a friend over the weekend who is the technical guru behind a high frequency trading team. He was emphasising the importance of utilising noise rejection techniques and statistical probabilities, although they see a major decay in expectancies beyond a one tick horizon.
wh are you working with the files from bearcave.com? I tried your indicator but doesn't look like its drawing correctly here.
I just posted the fixed version of my wavelet kit, also a screenshot of it.. both are attached to the original post
Here are a few other screenshots showing it with different settings.
Again, *BE CAREFUL* with this indicator.. you really need to understand what you are doing to some extent to use it safely. Changing the settings can completely change the behavior of the indicator, or could change it in more subtle ways that are not immediately obvious if you don't know to look for them. For instance, changing basis functions can invert the signals (use scaling parameter to correct) or you could get edge effects from using improper boundary conditions (safer to stick with reflection unless you have a reason not to).
Although you can do a few interesting things with the indicator in the state that its in, to do anything really interesting with wavelets you will have to do a bit of research to figure out how to apply them. There are many interesting things you can do, denoising, cycle extraction and extrapolation, change point detection, pattern detection, compression, etc..
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