Kooks of the trading world?

[panzerman]

I have been suckered in by the really clean scientific idea that you could apply mathematical models to finance, but I'm typically disappointed in practice.

Although I feel like the Fourier transform would have merit, it would have to detect signals that are accelerating / decelerating. We don't seem to have signals that are stable in the same way as a radio signal would be. I'm not clear on if this is possible with the mathematics we have today, but I'm sure that's a limitation of my education, so I'd be happy to be enlightened.

Exactly the reason you can't use the DTFT in finance. Look up Ehlers' implementation of the autocorrelation periodogram and MESA algorithms. From ph1l's post, I thought the HHT was noncausal and thus of limited use in trading. I will try to read the article when I can get some time to digest it properly.

 

[ironchef]

The Hilbert-Huang transform (empirical mode decomposition followed by Hilbert transform) is something you might want to investigate.

Here is a good overview:
Lecture 12-13 Hilbert-Huang Transform
https://cseweb.ucsd.edu/classes/sp14/cse291-b/notes/HHT.pdf

And for more details

Don't understand the math but the concept of extracting signals out of nonlinear and non stationary system is very interesting since stock price is generally nonlinear and non stationary.

As a side note, instead of using fancy math, we trader who are non mathematical used various moving averages to accomplish the same. These plots looks like: (a) = 200 dma, (b) = 50 dma, (c) = 10 dma and (d) = 5 dma, for example.

 

[ph1l]

Don't understand the math but the concept of extracting signals out of nonlinear and non stationary system is very interesting since stock price is generally nonlinear and non stationary.

As a side note, instead of using fancy math, we trader who are non mathematical used various moving averages to accomplish the same. These plots looks like: (a) = 200 dma, (b) = 50 dma, (c) = 10 dma and (d) = 5 dma, for example.
View attachment 228061

I found what looks like one of the original papers on empirical mode decomposition with the Hilbert transform.

 

[bone]

In the late ‘90s I once saw an advert looking for proprietary traders in Chicago. Very top tier firm.

The last sentence read:” Practitioners of Elliott Wave and Gann need NOT apply”.

Absolutely true story.

 

[destriero]

In the late ‘90s I once saw an advert looking for proprietary traders in Chicago. Very top tier firm.

The last sentence read:” Practitioners of Elliott Wave and Gann need NOT apply”.

Absolutely true story.

PTJ used to supply his PMs with Prechter's EWT or whatever it's called. The monthly paperback. This was in the late 90s.

It was 4-5 figs a year back in the day... he's asking $29/month now. What a savings.

 

[ironchef]

I found what looks like one of the original papers on empirical mode decomposition with the Hilbert transform.

Thank you for the link. Another late night reading assignment for me.

It is amazing what you folks are able to dig out. I will never be able to find articles like this.

 

[ironchef]

PTJ used to supply his PMs with Prechter's EWT or whatever it's called. The monthly paperback. This was in the late 90s.

It was 4-5 figs a year back in the day... he's asking $29/month now. What a savings.

It really means what worked in the 90s are no longer working today. In another couple of years, it will be free and he gets his income from ads.

Sir, you get what you paid for.

 

[lilygoldilox]

You will be surprise how many people don't backtest and review their past 100 trades. Why because it's time consuming and takes a lot of work. which includes me. like a business, you need to keep a RECORD of everything. and your trading record shows you don't have an edge or edge.

http://www.marketcentral.ca/expectancy/traderecord.xlsx

it's a simple spreadsheet and tool of the trade that is automated by AI computers.
You are free to use it for free or distribute it to your students etc. post it. You have to keep a track record of your performance.

Don't analyze the market but analyze yourself.

what you need is to design a system that fits your situation or account size.

What is the password on that sheet?

 

[high-performance]

there is no password. just click on the enable editing.

http://www.marketcentral.ca/expectancy/traderecord.xlsx

 

[lilygoldilox]

OK thank you. For whatever reason, the first time I tried it wouldn't work after enabling, but it did this time. Now I must learn how to use it!