Just a little addition since I think my previous post was a bit misleading: what really decouples the relation between the lag and period is not the data dependency per se but the cherry picking of the gain within the for loop which is a kind of optimization. Generally, the lag of a filter is always dependent on the data by its…[Read more]

Hi Anti,

in the case that you refer to the version mentioned by simplex, there is no direct relation between the (instantaneous) lag and the period. The lag is a function of the “best” gain which is chosen as the one producing the smallest error between the last indicator output (prediction) and the current price. So the lag is data dependent,…[Read more]

To put it bluntly and less politely than simplex, it looks like banalities used to camouflage advertising.

Hi @simplex,

yes, I implemented the original R code in C++/Cuda and did some backtests. In my oppinion there is (tradeable) potential in this approach, especially in the multivariate variant (MDFA) where several cointegrated series are used. The major problem is (as usual) the overfitting arising from the many parameters and I have to figure out…[Read more]

Addition regarding p: this is a hyperparemeter you have to define in advance before learning the parameters and will influence the depth of considered data history (memory/model size). A complex model can capture complex signal characteristics but is also more prone to overfitting compared to smaller model sizes. Generally, you want p to be as…[Read more]

Hola,

my thread addresses indeed the same simple mathematical problem: linear prediction or linear filtering, however you want to call it. The formula you mentioned above leads to the class of finite impulse response (FIR) filters after solving the underlying optimization problem using whatever optimization criterion. Solving the problem, i.e.…[Read more]

Sounds nice, theoretically, and is certainly worth a try. However, in any case the timeliness is crucial in my optinion and I think that typical filter classes are just not fast enough in order to produce signals before the show is already over – may it be primary or secondary ones.

@simplex: I knew you were interested. I haven’t read all of Ehler’s papers… yet, so I’m certainly not an expert in his work. The approach here is basically motivated from a general signal processing background. To put it in a nutshell, it is a standard direct filter design / specification approach with a customized optimization criterion…[Read more]

@simplex: I knew you were interested. I haven’t read all of Ehler’s papers… yet, so I’m certainly not an expert in his work. The approach here is basically motivated from a general signal processing background. To put it in a nutshell, it is a standard direct filter design / specification approach with a customized optimization criterion…[Read more]

@simplex: I knew you were interested. I haven read all of Ehler’s papers… yet so im certainly not an expert in his work. The approach here is basically motivated from a general signal processing background. To put it in a nutshell. it is a standard direct filter design / specification approach with a customized optimization criterion…[Read more]

Another thing we should discuss together is that trading may be even possible successfully (making more profits than losses) if we just guess the future direction with an equally distributed probability of 50 %. However, this requires a good money management strategy in order to let winners run and to cut losses early. But even then we need to…

[Read more]

Another thing we should discuss together is that trading may be even possible successfully (making more profits than losses) if we just guess the future direction with an equally distributed probability of 50 %. However, this requires a good money management strategy in order to let winners run and to cut losses early. But even then we need to…

[Read more]

Another thing we should discuss together is that trading may be even possible successfully (making more profits than losses) if we just guess the future direction with an equally distributed probability of 50 %. However, this requires a good money management strategy in order to let winners run and to cut losses early. But even then we need to…

[Read more]

Another thing we should discuss together is that trading may be even possible successfully (making more profits than losses) if we just guess the future direction with an equally distributed probability of 50 %. However, this requires a good money management strategy in order to let winners run and to cut losses early. But even then we need to…

[Read more]

Hmm, I can’t explain to myself how candlesticks can provide any mathematical edge since they contain less information compared to tick charts. In this point, I agree with Simplex: candlesticks might be seen as a sampling of the underlying tick flow in either a statistical or signal processing sense. From the latter point of view, it is important…[Read more]

Hmm, I can’t explaint to myself how candlesticks can provide any mathematical edge since they contain less information compared to tick charts. In this point, I agree with Simplex: candlesticks might be seen as a sampling of the underlying tick flow in either a statistical or signal processing sense. From the latter point of view, it is important…[Read more]