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Questions about Workshop 5 & DominantPeriod #444414
08/09/14 15:36
08/09/14 15:36
Joined: Sep 2013
Posts: 504
California
G
GPEngine Offline OP
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GPEngine  Offline OP
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G

Joined: Sep 2013
Posts: 504
California
http://zorro-trader.com/manual/en/tutorial_fisher.htm

Regarding
Code:
var Period = DominantPeriod(Price, 30);

The tutorial refers to 30 as the cutoff period. I'm trying get more understanding of this. Ehler's HTDcPeriod does not have this arg. The Transformation filters manual http://zorro-trader.com/manual/en/filter.htm just calls the second arg "period". The description doesn't say what it's for. I do notice the phrase "valid range = 10..60 bars." but I'm not sure if that is meant to be the range of the input or the output.

Without clarity in the manual, I started experimenting and trying to infer the sense of this parameter. I observed that the value of DominantPeriod(Price, P) can be less than P. See EURUSD, 60m. DominantPeriod(Price, 60) has range (16.5, 60.4). DominantPeriod(Price, 10) has range (10.8, 46.7). I enter the realm of wild guessing at this point.

What is the sense of the second argument? Can you please start at the beginning?

Last edited by GPEngine; 08/09/14 15:38.
Re: Questions about Workshop 5 & DominantPeriod [Re: GPEngine] #444415
08/09/14 15:50
08/09/14 15:50
Joined: Sep 2013
Posts: 504
California
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GPEngine Offline OP
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GPEngine  Offline OP
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Joined: Sep 2013
Posts: 504
California
A few additional nits about the Workshop 5.

1. Further down it says
Quote:
The result Period is a series containing the current dominant period lengths.

The variable Period is a single var, not a series.

2.
Quote:
vars HP = series(HighPass(Price, LowPeriod));

This is different from the script
Quote:
vars HP = series(HighPass(Price,Period));


3.
Quote:
plot("DominantPeriod", Period, NEW, BLUE);
This line generates a plot of the LowPeriod variable

errrrm

same with "The LowPeriod variable, used for the HighPass filter time period, is multiplied with the return value of an optimize function" etc.

Re: Questions about Workshop 5 & DominantPeriod [Re: GPEngine] #444516
08/13/14 11:24
08/13/14 11:24
Joined: Jul 2000
Posts: 28,094
Frankfurt
jcl Offline

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jcl  Offline

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Joined: Jul 2000
Posts: 28,094
Frankfurt
It is the cutoff period of a highpass filter that removes trend and normalizes the data before the dominant period is determined.

DominantPeriod is not used in Workshop 5 - the online version was not up to date. I've now uploaded the page from the manual.

Re: Questions about Workshop 5 & DominantPeriod [Re: jcl] #444529
08/13/14 15:07
08/13/14 15:07
Joined: Sep 2013
Posts: 504
California
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GPEngine Offline OP
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GPEngine  Offline OP
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Joined: Sep 2013
Posts: 504
California
I see . I'll study this new workshop instead.

please do not forget about the manual for DominantPeriod
http://zorro-trader.com/manual/en/filter.htm Especially where it says "valid range = 10..60 bars". Based on what you just said , I think that sentence refers to the output, not the input. That was not my first guess.


Moderated by  Petra 

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