Hi ,
Thank you for your prompt answer on the DFT (Discrete Fourier Transform).
If you can help, I am keen to use spectral analysis techniques on stock market data.
Below is the TradeStaion code for the Discrete Fourier Transform
if you could convert it to MetaStock code.
The only the value of the DFT is important not the
Heat Map.
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http://www.traders.com/Documentation/FEEDbk_docs/Archive/012007/TradersTips/TradersTips.html#tradestation
Strategy: Ehlers DFT
inputs:
Price( MedianPrice ),
Window( 50 ), { maximum Window = 50 } OverBought( 70 ),
OverSold( 30 ),
Frac( 0.5 ) ;
variables:
HP( 0 ),
CleanedData( 0 ),
Per( 0 ),
CosPer( 0 ),
CycPer( 0 ),
Alpha1( 0 ),
Period( 0 ),
n( 0 ),
MaxPwr( 0 ),
Num( 0 ),
Denom( 0 ),
ThreeMinus( 0 ),
DominantCycle( 0 ),
Change( 0 ),
AbsChange( 0 ),
Count( 0 ),
DFT_RSI( 0 ) ;
{ arrays are sized for a maximum period of 50 bars }arrays:
CosinePart[50]( 0 ),
SinePart[50]( 0 ),
Pwr[50]( 0 ),
DB[50]( 0 ),
SF[50]( 0 ),
NetChgAvg[50]( 0 ),
TotchgAvg[50]( 0 ),
RSIArray[50]( 0 ) ;
{ detrend data by high-pass filtering with a 40 period cut-off }
if CurrentBar <= 5 then
begin
HP = Price ;
CleanedData = Price ;
end
else if CurrentBar > 5 then
begin
Per = 360 / 40 ;
CosPer = Cosine( Per ) ;
if CosPer <> 0 then
Alpha1 = ( 1 - Sine( Per ) ) / CosPer ;
HP = 0.5 * ( 1 + Alpha1 ) * ( Price - Price[ 1 ] ) +
Alpha1 * HP[1] ;
CleanedData = ( HP + 2 * HP[1] + 3 * HP[2] + 3 *
HP[3] + 2 * HP[4] + HP[5] ) / 12 ;
end ;
{ calculate DFT }for Period = 8 to 50
begin
CosinePart[Period] = 0 ;
SinePart[Period] = 0 ;
for n = 0 to Window - 1
begin
CycPer = ( 360 * n ) / Period ;
CosinePart[Period] = CosinePart[Period] +
CleanedData[n] * Cosine( CycPer ) ;
SinePart[Period] = SinePart[Period] +
CleanedData[n] * Sine( CycPer ) ;
end ;
Pwr[Period] = Square( CosinePart[Period] ) +
Square( SinePart[Period] ) ;
end ;
{ find maximum power level for normalization }MaxPwr = Pwr[8] ;
for Period = 8 to 50
begin
if Pwr[Period] > MaxPwr then
MaxPwr = Pwr[Period] ;
end ;
{ normalize power levels and convert to decibels }for Period = 8 to 50
begin
if MaxPwr > 0 and Pwr[Period] > 0 then
DB[Period] = -10 * log( 0.01 / ( 1 - 0.99 *
Pwr[Period] / MaxPwr ) ) / log( 10 ) ;
if DB[Period] > 20 then
DB[Period] = 20 ;
end ;
{ find dominant cycle using CG algorithm }Num = 0 ;
Denom = 0 ;
for Period = 8 to 50
begin
if DB[Period] < 3 then
begin
ThreeMinus = 3 - DB[Period] ;
Num = Num + Period * ThreeMinus ;
Denom = Denom + ThreeMinus ;
end ;
end ;
if Denom <> 0 then
DominantCycle = Num / Denom ;
Change = Price - Price[1] ;
AbsChange = AbsValue( Change ) ;
for Count = 1 to Window
begin
if CurrentBar = 1 then
begin
SF[Count] = 1 / Count ;
NetChgAvg[Count] = ( Price - Price[Count] ) /
Count ;
TotChgAvg[Count] = Average( AbsChange, Count ) ;
end
else
begin
NetChgAvg[Count] = NetChgAvg[Count][1] +
SF[Count] * ( Change - NetChgAvg[Count][1] ) ;
TotChgAvg[Count] = TotChgAvg[Count][1] +
SF[Count] * ( AbsChange -
TotChgAvg[Count][1] ) ;
if TotChgAvg[Count] <> 0 then
RSIArray[Count] = ( 50 *
( NetChgAvg[Count] / TotChgAvg[Count] +
1 ) )
else
RSIArray[Count] = 50 ;
end ;
end ;
DFT_RSI = RSIArray[ iff( Frac * DominantCycle < 50,
Frac * DominantCycle, 50 ) ] ;
{ CB > 1 check used to avoid spurious cross confirmation at CB = 1 }if Currentbar > 1 then
begin
if DFT_RSI crosses over OverSold then
Buy ( "RSI-LE" ) next bar at market ;
if DFT_RSI crosses under OverBought then
Sell Short ( "RSI-SE" ) next bar at market ;
end ;
Hoping you can help
Best regards.
Derek
