"Trading is statistics and time series analysis." This blog details my progress in developing a systematic trading system for use on the futures and forex markets, with discussion of the various indicators and other inputs used in the creation of the system. Also discussed are some of the issues/problems encountered during this development process. Within the blog posts there are links to other web pages that are/have been useful to me.
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Monday, 9 September 2013
Update on FFT Smoother
Having tested the FFT smoother on real price data and having been disappointed, I have decided not to pursue this any further for the moment. I think the problem is that for such short input periods ( 10 to 50 bars ) the FFT does not have enough frequency resolution and that by eliminating most of the frequencies from this short period I'm throwing out the baby with the bath water.
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