Care to share your results?..And the right way to set the data ,comma,etc issue...it will be a thrill for us to be able to do and share too

__________________
Somos mortales hasta el primer beso..y la segunda copa de vino

ND,

THAT WORKED!!!! Thanks bro!!!


Yo Linuxser,

Thank you for your advice. The reason the candles look that way is not because something is wrong w/ the imported data but instead because they are actually not OHLC candles. It is ROC data (If I'm not mistaken). Different method of SA brought to us by robertinno that supposedly gives a more accurate output because it's based off non-stationary time series that is the financial markets vs. usual unrealistic stationary analysis (Someone correct me if I'm wrong). THAT'S from where the issue arose. It was a different type of data and from a computer (robertinno's) w/ different date format, thus those w/ a different default date format was encountering problems uploading and we were thinking it was the fact that is was a different type of data. Whew!

I digress........

We have overcome that thanks to everybody's brainstorming and teamwork.

__________________
"A successful speculator bases no moves on what supposedly will happen but reacts instead to what does happen."

Max Gunther

sure thing...

I simply copied my date comma settings exactly like ND did....

I then loaded robertinno's data....and this is what i got ( see attachment)...

I'm guessing he used different data....and posted an example of "how to" do the roc in excel....my spectrum looks nothing like his....no matter how many records you put in there....

cl

Attached Images

change in n.GIF (128.2 KB, 834 views)

[quote=forex_for_life;195818]ND,

THAT WORKED!!!! Thanks bro!!!

[quote=Linuxser;195751]Do what Newdigital says and try again. By looking your picture you have a big problem with your imported data.

See by yourself, there is a completely inconsistence with your candles.

well put... :-)

Hi All,

Fascinating thread. Thanks to all who keep it moving. I have a question for you gurus if you don't mind.

Question: What about curve-fitting and the need for re-tuning? It seems clear to me that this type of analysis is extremely curve fit - intentionally, as part and parcel of the method. It reminds me of some of what I have read about the AI techniques - neural nets, etc. I have also read that daytraders successfully using neural techniques have to regularly re-optimize or re-tune their indicators for the indics to continue to have precision and relevance to the current market - some as often as every day.

What about these DF methods? Is re-tuning (or, re-optimization) necessary? How often? Also, what about the difference between using the shorter "learning period," like 200-300 bars, vs. all available bars? If FATL, SATL, etc are created using 200-300 bars, how often would you advise re-tuning the filters to continue to generate curve which are truly descriptive and not starting to fall apart?

I will begin experimenting with some of these methods soon myself, once I get up to speed on the concepts. I imagine doing a manual backtest of some basic ideas. However, I don't think it would be genuine to backtest against indicators which have been highly optimized to the (known) back data and then expect the (unknown) future to hold to that optimized result. I am thinking it might be best to tune the filters to a 200-300 bar window, then forward test against the next, say 100 bars, then step the 200-300 bar tuning window forward 100 bars, then test against the next 100 bars, etc, etc, to create a full backtest against fairly realistic conditions.

Any advice or comments?

Best,
Scott

Scott,

I only have a quick minute, but i wanted to give you my comment. In terms of "re-tuning", we haven't really gotten into that much but that's not to say it hasn't come up. My .02 would be ( and this has been SIMBA's advice in the past) is that when using SATL, FATL ( which leads to STLM and FTLM), we try to use the least amount of bars possible. I would think then that maybe every week, you could reoptimize with the past 200 bars or so. Reoptimize on Saturday for example, and use the coefficients for the upcoming week. The "cycles" we've been creating we haven't really touched on that. Since we are using full history, i would assume you wouldn't have to reoptimize as often. That's not to say you wouldn't have to ever though.


Sorry but i have to run. I'm sure someone else will comment further on this.

Thanks,

cl

Thanks cl - I appreciate the input. From what I am reading here on the board, as well as the original papers (on Robert's site), it looks like anyone using these techniques is working on the frontier and will need to do a lot of experimenting and discovery by trial and error. MUCH more interesting than working with methods with well-known (and well-worn) histories, like most of the classic TA indicators. I can't wait to get into this a little myself. Unfortunately, I am moving over the next 3 weeks and that will take priority, but that's my cross to bear.....


best,
Scott

Singular Spectrum Analysis: SSA
Библиотека функций �ингул�рного преобразовани� - MQL4 Code Base
Time series analysis and forecast, Caterpillar SSA method [Software]

Attached Images

ssa1.gif (19.0 KB, 716 views)

Attached Files

	JDS-396.pdf (265.2 KB, 172 views)
	SSA.mq4 (13.5 KB, 184 views)
	#_FullSSA_normalize.mq4 (2.7 KB, 162 views)

Yo Barnix,

This is some deep stuff. You must be trying to give me a headache before I go rollerskating. lol! Thanks for sharing, bro. Don't be a stranger as I might be asking just a couple of questions

From what I've understood thus far, this method works very well w/ non-stationary data.



FEI (For Everyone's Information)

You must place the SSA file in the include and/or library folder and the #_FullSSA_normalize in the indicator's folder.

__________________
"A successful speculator bases no moves on what supposedly will happen but reacts instead to what does happen."

Max Gunther

I've been messing around with this indicator tonight, running it through VHands. It's a hog on memory for sure. My question comes about from the calculation. The line continually repaints and recalculates itself, so in the past it looks great. The "Lag" extern controls this. "10" seems to make the past 10 bars or so recalculate. A number of "3" is much more jagged, and it doestn' repaint as much of the past as the 10 does. I'm not too for sure what "real time" applications this indicator would have. It reminds me a lot of fisher indicators. Perhaps there is a coding error that makes it repaint? I'm guessing not, but i thought i would just post what i noticed...

Best,

cl