Fast Fourier Transform - Cycle Extraction - page 12

crodzilla:
Just checking in. I don't see much work getting done here.

I have completed my Goertzel browser. As someone mentioned Goertzel may be better. And, I have found that it is, so far. Its much faster to compute, and we don't need any external DLL's to mess with, as with FFT.

I also had to write a windows based program to align the phases. In the attached picture, the first cycle (highest magnitude) is 180 degrees out of phase.

As someone else mentioned, you can have different tones with different frame lengths. That is both true and false. One reason why some tones may disappear is that they dissipate, the way waves do in a pond. And I have found that "persistent" waves can exist for finite lengths of time, which is what I want to take advantage of. I wrote a program to extract all the waves in all frames, in all possible lengths, then choose only those waves that "persist" in a current frame and past frames. Then, I align the individual waves by simulating "trading" each cycle and each combination of cycles to phase shift each cycle. The program shows me which cycles have had the highest hit rate. So far, I have not seen a combination of cycles (adding) that were profitable. It has always been a single persistent cycle that gets the highest hit rate.

There is still a lot to do, but I'm slowly making progress to see how cycles are prevalent in the market. My goal is to find and take advantage of "persistent" and current cycles if only to trade for one trade. Then re-evaluate, to see if the cycle is dissipating. And that may be done by evaluating a single cycle over time to see if its phase is shifting and its amplitude is falling. We may also be able to evaluate whether a single cycle is getting stronger by using the same method.

The attached pic is from my browser. The yellow cycle is the highest magnitude, and the purple is the second highest magnitude cycle.

Carl

PS. And don't forget, cycles can be projected forward in time to see when they peak/valley!!

Stewart Coad:
Hi Crodzilla,

The work you are doing on cycles is very interesting. I agree with you that if cycles can be mastered they will form the core of a very good trading system.

I have been using Stochastics set to 8,3, 8 in conjunction with the Awesome Oscillator as a crude cycle indicator.

I wait until the Stochastics on the Daily is in the middle of it's cycle and use that as a direction of trade indicator.

If Stochastics on the Daily is indicating an up cycle I wait until H4 H1 M30 M15 M5 & M1 are at the bottom of their cycles before I enter. Using this approach I have been able on some occasions to enter within a few pips of the top or bottom of a move.

I know it is a very crude approach but all the same I have been able to increase my capital, real money, by over 500% since the 16th of September this year.

In your last post you wrote "Just checking in. I don't see much work getting done here."

What you are doing is a far more sophisticated, scientific approach than I have been doing, and I would like to help if I can ... problem is I don't have any high level programming skills. My programming is limited to some machine code I learnt for the Motorola 6800 series of processors in the middle 80's.

Is there is any way I can contribute ?

Stewart

duxis:
ok Simba i take your advice , thanks.

with the Snake or Triangular MA wich is calculate with the last Half Period bars values,

Full cycle ? or 2*Full cyle ?

learntrader:
taking advantage of these online simba could climb to the web crodzilla indicator