Well, just that my filter has a coefficient span of 39 and looks visually very close to a 39-bar SMA. Yes, the frequency response is VERY different, but then I am not implementing an MA. An MA has all positive coefficients. Many of mine are ...

Optimized Trend Trading

ICA — Hi Guys The trouble with this forum is that we are moving the ideas so fast before we have digested the current ones! We can talk about ICA certainly. This is an approach that attempts to solve the "cocktail party problem" by using ...

Optimized Trend Trading

A pedantic but important point! — If we are to understand this method clearly I feel it is important to be absolutely rigorous in the mathematics. The line from Noxa that says that "..And yes SVD can be used as the matrix is symetric..." is ...

Optimized Trend Trading

Thanks Noxa! — Hi Guys Thanks to Noxa for posting. As you Noxa guys will see, this is one of the more serious threads around with some seriously acid-head math types on board. So Yowza!! If the Causal-SSA does what it says on the tin, this has ...

Optimized Trend Trading

Hi BarHopper Many thanks for your excellent analysis and interpretation... SigProc texts focus on group delay because that is often more important in DSP applications using man-made signals that are nearly always stationary. But "natural" signals ...

Optimized Trend Trading

A connoisseur indeed! — Dear BarHopper I see you are a connoisseur indeed! In response to your questions... (1) Lag response for an FIR filter is always the Centre of Gravity (CG) of the coefficients. So for an N-period SMA, the lag is ...

Optimized Trend Trading

Spectral Analysis (Fourier, MESA, Singular etc) — Hi Guys A number of folk have been asking me about the use of spectral analysis in trading, particularly the Singular Spectral Analysis (SSA) add-on from Noxa that is causing a bit of a stir on ...

Optimized Trend Trading

Some filter maths — Hi Guys I am getting PM'd to death with requests about filter design and optimisation. So here is a little math that will enable you to design great trading filters like mine. Remember that we are taking about FIR (Finite ...

Optimized Trend Trading

Metabeliefs — Hi Guys, As I posted earlier in this thread, this is worth a read... url CB

Optimized Trend Trading

Binaries — Ahh yes!! But then I trade my favourite trade of all -- the Binary Bet. Just UP or DOWN. What could be simpler than that? Pips for old rope..... CB

Optimized Trend Trading

Port sniffers — Hi Guys Thanks for all the PMs on port sniffing. Attached are two files for the EURUSD which I sniffed from the Lightstreamer feed provided by IGIndex for their PureDeal trading platform. The zipped one is Tick Data just as it ...

Optimized Trend Trading

Back from Bavaria — Hi Guys Back from Bavaria today. We sung in the great churches and cathedrals of, among others, Landshut, Memmingen, Munich, Ottobeuren and Ulm. And also in Wagner's Great Hall in the mountain fortress of Neuschwanstein, ...

Optimized Trend Trading

Ehlers' filters — Hi Guys I am very familiar with the excellent work of John Ehlers. He and I have corresponded on a few occasions. The Laguerre filter is nice because of the "time warping" properties (see Ehlers' article "Time Warp Without ...

Optimized Trend Trading

Another day, a few more pips... — Hi Guys Attached the EURUSD M3 chart from IG-Index with my new filter overlaid. The middle plot is rather a nice little indicator based on Fractal Dimension which separates the TRENDS from the "buggering ...

Optimized Trend Trading

A small tweak and a few more pips! — Hi Guys Had rather an interesting idea last night during Choral Evensong at the Cathedral. We were singing Ayleward's Evening Service written around 1610 (so it falls firmly into the category of "proper ...

Optimized Trend Trading

Hi Guys Mr O'Leary -- I don't actually use options on FX but I do on stock indices. I am fond of options and I teach Masters courses in Financial Engineering which of course cover options from plain vanilla through to exotic. It is certainly an ...

Optimized Trend Trading

Hi Cointegration is not easy to prove but not difficult either. Two time series are cointegrated if a LINEARLY WEIGHTED COMBINATION of them is STATIONARY. Individually, financial time series CANNOT be stationary due to the presence of TRENDS. ...

Optimized Trend Trading

I'm back! — Hi Guys Sorry for the long silence! I got married last month to a rather great lady and have had my hand full :-)) with other things! Wowser! This credit crunch has livened things up a bit! I know we thrive on volatility but this ...

Optimized Trend Trading

Hi Parham I have thought about building a FAM matrix for currencies but it is difficult to see how to optimally handle the data. What would we represent? For stationarity, I would go for price change which we could classify as [down] [none] [up] in ...

Optimized Trend Trading

A very successful trade — Hi Guys I want to share with you a very successful trade I did over the last couple of months. This one went right as planned and looking out my window, I have a really nice "ocean blue" brand new car on my drive to ...

Optimized Trend Trading