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Seeing into the future...with Cycles.
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Seeing into the future...with Cycles.

  #21 (permalink)
Elite Member
New Mexico, USA
 
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Thanks Sefstrat,

Lots of useful information. I had the range on the ES for today as 1007.75 - 1001.00. So that is coming along also. How do you like the projections so far? Thanks,

Regards, NMTrader
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  #22 (permalink)
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Thanks for posting these indicators, Sefstrat.


I can't get the Wavelets indicator to work - there is a dictionary error at line 50 in the log.

Maybe I'm trying to use one of the unfinished aspects of the indicator.

David

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  #23 (permalink)
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This looks like a very significant sentence about using the Goertzel algo for filtering whipsaws:


Quoting 
I use the ULLMA to get a smooth price. I then do a spectral analysis based on the Goertzel algorithm and assign dominant cycles to "signal" and smaller amplitude cycles to "noise". Hence we get SNR. This helps to keep the system out of fake trades and whipsaws.

It is part of a very interesting (and deeply mathematical) thread about trend detection at ForexFactory:

Optimized Trend Trading - Page 13 @ Forex Factory

I'm very grateful to Sefstrat for pointing me and others in the futures.io (formerly BMT) forum to some very significant techniques.

David

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  #24 (permalink)
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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.

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  #25 (permalink)
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Quoting 
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

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.

David

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  #26 (permalink)
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ripples in math ... have found an java application ... will say easy to convert

Daubechies Wavelets in Java and C++

and will my practical knowledge in wavelets ==
nearly zero

wh

scientific aspect with c # is very limited, so i look for c++, fortran or java ...

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more infos can be found here : http://www.bearcave.com/misl/misl_tech/wavelets/lifting/predict.html

thanx to bring back the wavelets


Last edited by wh; August 11th, 2009 at 05:13 PM.
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  #27 (permalink)
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Very nice stuff. Are the numbers on the left axis correct for the next year prediction since it shows 1010 as top and 980 as bottom, but you said it is a big drop?

Thanks!




NMTrader View Post
Weekly Projections :

Very interesting outlook through the beginning of 2013. Something to think about.

For your general information only please!! As anything else in the trading world this information may be effected by changes in market conditions or economic reasons.


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  #28 (permalink)
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last two days i played and searched a lot of wavelets ...
i played an indicator togehter i named it nl002.

so i have my satisfaction and can sleep ...

only for playing around this theme ...

Attached Files
Register to download File Type: cs NL002.cs (11.0 KB, 180 views)
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  #29 (permalink)
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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..

Attached Thumbnails
Seeing into the future...with Cycles.-w-haar.png   Seeing into the future...with Cycles.-w-coiflet.png  
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  #30 (permalink)
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Thanks for fixing the wavelet indicator, Sefstrat.

It's working fine now. All I've got to do is to figure out how to use it!

David

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