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Re: Singal Processing Class [Re: tvas] #448853
02/24/15 11:09
02/24/15 11:09
Joined: Dec 2013
Posts: 13
T
tvas Offline
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tvas  Offline
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Joined: Dec 2013
Posts: 13
Today I have added to myfxbook also the account which I use to verify the execution of my algorithms on MT4: http://www.myfxbook.com/members/4Xconsult/go-live-validation/1166994.

The challenge with MT4 is that the execution latency is very high which can cause certain strategies to lose their advantage. It is not uncommon to see execution times around 200-300 ms which is really feels like eternity...

I run my algos in a proprietary hand-wired environment which consists of standard components and own-coded pieces, like the transformation and algo processing engine. I use only the C language because it allows me to write things close to the bare iron...

Re: Singal Processing Class [Re: boatman] #448862
02/24/15 16:23
02/24/15 16:23
Joined: Sep 2013
Posts: 504
California
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GPEngine Offline
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Posts: 504
California
tvas,
Another way of looking at "pure and unfiltered price action" and "pure price change measures with disregard of the time component" is to say that periods of time with no price activity should be filtered out as irrelevant noise.

So, everyone is just trying to extract signal from noise. You just have different ideas about what the noise is.

Re: Singal Processing Class [Re: GPEngine] #448875
02/24/15 18:33
02/24/15 18:33
Joined: Dec 2013
Posts: 13
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tvas Offline
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GPEngine, you are bringing a good point here - that is the quality of this forum and I hope to get a constructive discussion going on here laugh Here are some thoughts I want to share - comments would be very appreciated.

Building a good mechanical strategy requires to solve 2 problems:

1) transform the raw data into a meaningful structure
2) find a profitable trading strategy

If 1 is not done properly then 2 can be really hard if not impossible. I personally have invested a lot of research into 1 because this has proven to me to have a much bigger impact then 2.

At then end we need some sort of a filter which puts the data into a certain structure we can work with. There are different valid approaches to do this one of them being DSP methods, other being simple things like range bars, volatility units etc. What is important here is that we always need to select the most effective approach which is not necessarily the most beautiful and theoretically appealing one - there is no need to stop at a certain method or to blindly follow other people's ideas.


As markets have become prone to extremely sharp changes of trends obviously we need to avoid any additional lag resulting from filtering the data in order to be able to build strategies which can survive such wild environments.

We also have to think about the fact that certain types of structure might favor certain types of strategies and vice versa. I have seen many times that applying a classic technique on a properly transformed data all of the sudden becomes a killer strategy. When you structure is correct you can have absurd simple looking but profitable strategies which basically pop up upfront of you when you see the result of the transformation.

Re: Singal Processing Class [Re: tvas] #448887
02/25/15 02:40
02/25/15 02:40
Joined: Feb 2014
Posts: 73
Montreal, Qc Canada
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Finstratech Offline
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Joined: Feb 2014
Posts: 73
Montreal, Qc Canada
Tvas, again thank you for your input, but rest assured that no one single person here is "stopping" and "blindly following" any one single method of data extrapolation or trading such as DSP. Everybody is exploring what's possible, including but not limited to DSP.

Re: Singal Processing Class [Re: boatman] #448965
02/26/15 17:04
02/26/15 17:04
Joined: Sep 2013
Posts: 504
California
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GPEngine Offline
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GPEngine  Offline
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Joined: Sep 2013
Posts: 504
California
Originally Posted By: boatman
It isn't difficult to show that some cycles present in financial time series persist for long enough and with a large enough amplitude to both detect and trade them.

Zorro provides a way to analyze spectrum. Let's see if it is able to surface anything of this sort.

Arbitrarily using EURUSD 60m bars and the Spectrum script in range 20080101 - 20150201. The strongest period in [5, 400] is 372, corresponding to a half-month. The hypothesis is, this pattern persists throughout the backtest period.

If you take 5000-bar slices of the time period and run Spectrum on each one independently, you see that the reason for the strong peak over the whole period is due to the contributions of 2 very strong (65-75) peaks within the period, around Dec 2009 and again around July 2014. That's it. The cycle isn't even strongly present (>40) more than half of the time. The peaks have different widths and appear to come and go as they please. The amplitude sometimes falls far below what is represented in the whole-period spectrum. For example, if you had a strategy that depended on cycle 372 and you kept it running through Nov 2010, you would have had a very bad time.

So the whole-period spectrum graph misses some important depth. Perhaps Zorro's Spectrum script should add error-bars to it to make the uncertainty clearer? Another option is to plot the median amplitude instead of the avg. Well, I'll leave that up to jcl.

In any case, the cycles are not consistently present even in the case of well-defined peaks in the Spectrum graph. The question becomes how to detect when the cycles are present. boatman, if you have more thoughts you'd be willing to share, can you start a new thread about that?

Re: Singal Processing Class [Re: GPEngine] #448984
02/27/15 01:47
02/27/15 01:47
Joined: Apr 2014
Posts: 482
Sydney, Australia
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boatman Offline
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Joined: Apr 2014
Posts: 482
Sydney, Australia
That's very insightful and useful info GP. I'd be happy to share some of my findings in a separate thread and will do so after the weekend.

Re: Singal Processing Class [Re: boatman] #450709
04/21/15 03:45
04/21/15 03:45
Joined: Sep 2013
Posts: 504
California
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GPEngine Offline
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GPEngine  Offline
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Joined: Sep 2013
Posts: 504
California
oops
myfxbook

Error: "This system is private"

x2

Re: Singal Processing Class [Re: GPEngine] #450885
04/24/15 11:08
04/24/15 11:08
Joined: Apr 2014
Posts: 482
Sydney, Australia
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boatman Offline
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Joined: Apr 2014
Posts: 482
Sydney, Australia
Ha! I wondered what had happened to that clown!

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