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John Ehlers and David Sepiashvili are probably the most experienced
adapters of engineering mathematics to the market. Neither one does
much with Fourier.
I use a lot of DSP mathematics to create indicators and such. You can
read Ehler's book "Cybernetic Analysis for Stocks and Futures :
Cutting-Edge DSP Technology to Improve Your Trading"
and look at David's webstie.
http://www.alticom.com/indicators/overview.html
for a up-todate look at where the edge of DSP applications are. No
sense in starting from scratch.
I've had good success with the inverse Fisher Transform and excellent
success with Laguerre mathematics.
In Roy Larsen's newsletter, www.metastocktips.co.nz he has a series
of articles starting with Ehlers Distant Coefficient Filter and
ending up with a combination filter that I think you might find very
interesting that uses some cutting edge DSP filtering.
Roy's newsletter is a great read and well worth the $99 subscrition.
I think in one of his latter issues this year, he might be
considering some Laguerre code which is very rare and very
interesting also.
None of this creates anything that is earth shattering, but it can be
used to create a few unique applications that can improve trading
results.
--- In equismetastock@xxxxxxxxxxxxxxx, "James Palmer"
<steinington@xxxx> wrote:
> I'm curious if anyone has worked with the Raw Fourier Transform.
>
> I'm getting results orders of magnitude different from the
interpreted.
>
>
> For instance on the S&P500 on the interpreted I get three cycles.
256, 683,
> 85.
> On the raw for amplitude I get 18.73, 30.13, 38.36.
> for spectrum I get 12.13, 31.37, 50.85.
> This is using detrend and data sample of 512 days.
>
> Can anyone explain what the intrpreted is giving me and why it's so
> different?
>
> I assume it's giving me the amplitude.
> Also on the raw can you match the amplitude to the spectrum so
that, for
> instance, the 12.13 day cycle has an ampltude of 18.73 points?
>
> Much obliged. I've been planning to code my own FFT but I thought
I would
> first do some experimentation with metastock's built in but there
is minimal
> documentation.
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