My point was ... there should be NO speed problems ... Personally I find response time for FFT calculations over thousands of bars to still be subsecond.
Speed problems resulting from piggy code with indicators can be observed by holding down the left or right arrow keys traveling bar to bar and seeing how much lag time there is. There is no reason an FFT should have this sort of response time ergo the first F in FFT ... If you have code for an FFT ( which I have yet to see anyone post here or in the files section ) and it has a lot of lag associated with it, I suggest you hunt down code on the net for a more efficient implementation. For example ... here's a page of FFT routines in a variety of languages that fill the bill ... For those that are C challenged there are easily translatable other flavors ... http://faculty.prairiestate.edu/skifowit/fft/ --- In [email protected], "Ton Sieverding" <[EMAIL PROTECTED]> wrote: > > "Writing efficient AFL for either is fairly straight forward with no > need for extra hardware ( FFT Chips ?! ) or DLL's ..." > Sure as long as you accept delays of several minutes when using this code. This has nothing to do with AFL or AB but is just what you get when running Fourier Analysis for financial timeseries. That's why I am asking if other members have some experience and how they did solve the speed problem, But thanks for you advise anyway ... > > Ton. > > > ----- Original Message ----- > From: Fred > To: [email protected] > Sent: Tuesday, September 12, 2006 4:29 PM > Subject: [amibroker] Re: Cycles and Mesa > > > Formulas and/or algorithms for FFT's are available a zillion places > on the net although I wouldn't bother with the one at numerical > recipes. Formulas for MESA are also available on net although they > are a little harder to find as I think someone who is probably the > best known for this technique although not the originator of the > algorithm or even its use with price data has done his best to > squelch a lot of what otherwise would be available. > > Writing efficient AFL for either is fairly straight forward with no > need for extra hardware ( FFT Chips ?! ) or DLL's ... > > --- In [email protected], "Ton Sieverding" > <ton.sieverding@> wrote: > > > > Thanks Tomasz. First I do not understand why it involves 3.000 * ( > Bars# ) * ( Bars# ). Why not just 3.000 * ( Bars# ) ? I did the same > test in Excel with 3.000 * ( Bars# ) and got no delay. After your > email I did it again with 3.000 * ( Bars# ) * ( Bars# ) and got a > delay of several minutes. But why two times 1.000 ? > > Secondly I just copied the code I got from Fred and tried to speed > it up by removing the second and third harmonic calculation. Of > course it was faster but still to slow for me. Frankly I do not > understand how you can remove Cum() and LastValue() as the results > are being used for the calculation of the harmonic. > > Finally I agree that Log calculations will speed up the process and > will look for FFT code that does use Log's. I only have used full > Fourier Analysis in electronics and have no experience with the Fast > Fourier Transform. Although I agree with Ara that a FFT card is > probably needed for the real good performance. Do you have any > experience with these goodies ? > > > > Ton. > > > > ----- Original Message ----- > > From: Tomasz Janeczko > > To: [email protected] > > Sent: Thursday, September 07, 2006 1:32 PM > > Subject: Re: [amibroker] Re: Cycles and Mesa > > > > > > > > Hello, > > > > You are doing 24 * 16 * 8 * (NUMBER OF BARS) iterations per bar > (in the most inner loop you are using Cum() function which is > cummulative > > sum over all bars). So entire execution involves 24 * 16 * 8 * > (Number of bars) * (Number of bars). If you say have 1000 bars you > end up with > > 3 billion operations. > > To speed it up you would need to REMOVE Cum() and LastValue() > from inner loop (they are not needed in fact). > > > > The code below is a sample of very inefficient coding. Properly > coded FFT requires only N*logN operations > > > > Best regards, > > Tomasz Janeczko > > amibroker.com > > ----- Original Message ----- > > From: Ton Sieverding > > To: [email protected] > > Sent: Wednesday, September 06, 2006 12:16 PM > > Subject: Re: [amibroker] Re: Cycles and Mesa > > > > > > Rakesh when talking about the Fourier code ( Fred -> Ehler ? ) > you sent me and looking for what you want to get, why not just taking > the first harmonic and forgetting the rest of the code. In this way > you have your current cycle length - at least this is what I think > you want to get - and this will also solve an important part of the > speed problem. So take Y01 and take out the linear Y and you should > get the first harmonic. But as I already told you, this is not what I > have in mind for the first harmonic ... > > > > Also I do not understand why this code is still so slow. When > looking to the For Loops I am getting 24 * 16 * 8 being 3.072 > iterations per Bar. So why is the code so slow ? Thomasz am I to > optimistic ? Dimitri do you have any idea ? You can speedup the > calculation by setting n = 6, g01=1.0 ( starting g=1 ) and stp0 = 200 > ( starting stp0 = 400 ). I do not see any difference in the graph and > the speed should be of course 12 * 8 * 4 = 384 or 8x the old > speed ... > > > > Ton. > > > > > > > > _SECTION_BEGIN("Fourier Analysis Elementary"); > > // > ============================================================= > > // Elementary Fourier analysis, by D. Tsokakis, May 2004 > > // > ============================================================= > > t=Cum(1)-1; > > A=Param("Rsi",50,1,100,1); > > B=Param("smooth",100,1,120,1); > > C1=MA(RSI(A),B); > > start=Cum(IsTrue(C1))==1; > > t1=ValueWhen(start,t); > > > > // PlotShapes(shapeDownTriangle*start,colorYellow); > > > > // C10=ValueWhen(start,C1);Plot(C1,"C1",colorBlack,8); > > GraphXSpace=2; > > x = Cum(1); > > lastx = LastValue( x ); > > Daysback = LastValue(Cum(IsTrue(C1))); > > aa = LastValue( LinRegIntercept( C1, Daysback) ); > > bb = LastValue( LinRegSlope( C1, Daysback ) ); > > yy = Aa + bb * ( x - (Lastx - DaysBack) ); > > yy=IIf( x >= (lastx - Daysback), yy, -1e10 ); > > > > // Plot( yy, "yy", colorRed ); > > detrend=C1-yy; > > new1=detrend; > > Hor=LastValue(Cum(new1)/Cum(IsTrue(C1))); > > pi=4*atan(1); > > n=12; > > > > // =============================================== > > // Fundamental period, crude approximation > > // =============================================== > > > > error00=10000; > > per01=0; > > g01=0; > > phi01=0; > > stg0=0.5; > > stp0=100; > > > > for(phi=0;phi<2*pi;phi=phi+pi/n) > > { > > for(g=0.5;g<=8;g=g+stg0) > > { > > for(per=300;per<=1000;per=per+stp0) > > { > > f=1/per; > > y=Hor+g*sin(2*pi*f*(t-t1)+phi); > > error=LastValue(Cum(abs(y-new1))); > > if(error<error00) > > {error00=error;per01=per;g01=g;phi01=phi;} > > } > > } > > } > > > > f01=1/per01; > > y01=Hor+g01*sin(2*pi*f01*(t-t1)+phi01); > > > > Plot(y01,"y01",colorRed,4); > > > > _SECTION_END(); > > > > > > ----- Original Message ----- > > From: Ara Kaloustian > > To: [email protected] > > Sent: Wednesday, September 06, 2006 6:12 AM > > Subject: Re: [amibroker] Re: Cycles and Mesa > > > > > > > > Rakesh, > > > > John Ehler's code is quite usable with AB... it produces the > dominant cycle value. It is a bit CPU intensive but I tried using it > at the start of a new bar (instead of using it with every trade) and > that made the CPU load quite acceptable. > > > > My issue with both Ehler's code anf FFT is that I was not > satisfied with either. > > > > Since you were getting good results with FFT, you might try > Ehler's code. > > > > Theoretically ehler's code should be better since it looks at > the most recent data, while FFT would need much longer data to > produce usefuk cycle lengths. > > > > Good luck > > > > Ara > > ----- Original Message ----- > > From: Rakesh Sahgal > > To: [email protected] > > Sent: Tuesday, September 05, 2006 5:33 PM > > Subject: Re: [amibroker] Re: Cycles and Mesa > > > > > > Ton > > > > Back in the old MetaStock days I had fiddled around with > using the packaged FFT in MS. I had used it to extract the current > dominant cycle length in a market and then used it to compute > studies. The results were quite satisfactory. Then I changed > platforms to AB and the whole idea got shelved. Subsequently I have > tried to find a way of extracting current dominant cycle length in an > issue/market in AB but have not seen any way of using it which my non- > engineering/mathmetician brain could comprehend. It was in this > context I tried DT's code. Unfortunately (a) it was computing power > intensive and (b) the results were beyond my comprehension so I gave > up on it. I still would like to find a way of ascertaining what the > current cycle length is in an issue but have not been able to make > much progress. Perhaps someone on the list could throw up some ideas > which are implementable on the AB platform. > > > > > > R > > > > > > On 9/6/06, Ton Sieverding <ton.sieverding@> wrote: > > Thanks Rakesh. I've tried underneath mentioned AFL code > for Fourier analysis. It does something but I have some questions : > > > > 1. I have the feeling that the code uses a lot of > computer power. When modifying the parameters it takes several > seconds ( about 5 sec ) before I have a result on the graph. I am > using a Ghz 2.6 CPU with 1GB internal and have never seen my computer > so slow. Do you have the same experience ? > > 2. What I would like to see is a couple of sine waves > being the harmonics of the original time series. So more or less the > same picture as Fred's Cycles. But that's not what I get. Also the > calculations for the Fourier analysis does not look familiar to me. > Where can I find the logical background behind these formulas ? > > > > Ton. > > > > > > ----- Original Message ----- > > From: Rakesh Sahgal > > To: [email protected] > > Sent: Tuesday, September 05, 2006 2:12 PM > > Subject: Re: [amibroker] Re: Cycles and Mesa > > > > > > If you are interested in Fourier Analysis in AB > environment you should refer to the work of Dmitris Tsokasis who > shared his work on Fourier Analysis with the group. Am pasting below > his code. I have never used it and would not know how to apply it in > a meaningful manner. Hope you find it useful. > > > > > > R > > > > > > =============================== > > // Elementary Fourier analysis, by D. Tsokakis, May 2004 > > > > t=Cum(1)-1; > > > > A=Param("Rsi",50,1,100,1); > > > > B=Param("smooth",100,1,120,1); > > > > C1=MA(RSI(A),B); > > > > start=Cum(IsTrue(C1))==1; > > > > t1=ValueWhen(start,t); > > > > PlotShapes(shapeDownTriangle*start,colorYellow); > > > > C10=ValueWhen(start,C1);Plot(C1,"C1",colorBlack,8); > > > > GraphXSpace=2; > > > > x = Cum(1); > > > > lastx = LastValue( x ); > > > > Daysback = LastValue(Cum(IsTrue(C1))); > > > > aa = LastValue( LinRegIntercept( C1, Daysback) ); > > > > bb = LastValue( LinRegSlope( C1, Daysback ) ); > > > > yy = Aa + bb * ( x - (Lastx - DaysBack) ); > > > > yy=IIf( x >= (lastx - Daysback), yy, -1e10 ); > > > > Plot( yy, "yy", colorRed ); > > > > detrend=C1-yy; > > > > new1=detrend;Hor=LastValue(Cum(new1)/Cum(IsTrue(C1))); > > > > pi=4*atan(1);n=12; > > > > // Fundamental period, crude approximation > > > > error00=10000;per01=0;g01=0;phi01=0;stg0=0.5;stp0=100; > > > > for(phi=0;phi<2*pi;phi=phi+pi/n) > > > > { > > > > for(g=0.5;g<=8;g=g+stg0) > > > > { > > > > for(per=300;per<=1000;per=per+stp0) > > > > {f=1/per; > > > > y=Hor+g*sin(2*pi*f*(t-t1)+phi); > > > > error=LastValue(Cum(abs(y-new1))); > > > > if(error<error00) > > > > {error00=error;per01=per;g01=g;phi01=phi;} > > > > }}} > > > > f01=1/per01;y01=Hor+g01*sin(2*pi*f01*(t-t1)+phi01); > > > > Plot(y01+yy,"y01",colorSkyblue,4); > > > > Title=Name()+" [ Sample="+WriteVal(Daysback,1.0)+" > bars ]"+"\nyS0="+WriteVal(Hor,1.2)+ > > > > "\nyS01="+ > > > > WriteVal(g01,1.1)+"*sin(2*pi*(1/"+ > > > > WriteVal(per01,1.0)+")*(t-t1)+"+ > > > > WriteVal(12*phi01/pi,1.0)+"*pi/"+WriteVal(n, 1.0)+"), > Error1 ="+ > > > > WriteVal(LastValue(Cum(abs(y01-new1))),1.0)+", Error1/bar > ="+ > > > > WriteVal(2*LastValue(Cum(abs(y01-new1)))/Daysback,1.2)+" > %";; > > > > // Fundamental period, detailed approximation > > > > error0=10000;per1=0;g1=0;phi1=0;stg=0.5;stp=10; > > > > for(phi=0;phi<2*pi;phi=phi+pi/n) > > > > { > > > > for(g=0.5;g<=8;g=g+stg) > > > > { > > > > for(per=per01-stp0;per<=per01+stp0;per=per+stp) > > > > {f=1/per; > > > > y=Hor+g*sin(2*pi*f*(t-t1)+phi); > > > > error=LastValue(Cum(abs(y-new1))); > > > > if(error<error0) > > > > {error0=error;per1=per;g1=g;phi1=phi;} > > > > }}} > > > > f1=1/per1;y1=Hor+g1*sin(2*pi*f1*(t-t1)+phi1); > > > > Plot(y1+yy,"y1",colorBlue,4); > > > > Title=Title+ > > > > "\nyS1="+ > > > > WriteVal(g1,1.1)+"*sin(2*pi*(1/"+ > > > > WriteVal(per1,1.0)+")*(t-t1)+"+ > > > > WriteVal(12*phi1/pi, 1.0)+"*pi/"+WriteVal(n,1.0)+"), > Error1 ="+ > > > > WriteVal(LastValue(Cum(abs(y1-new1))),1.0)+", Error1/bar > ="+ > > > > WriteVal(2*LastValue(Cum(abs(y1-new1)))/Daysback,1.2)+" > %";; > > > > // 2nd Harmonic > > > > error0=10000; > > > > for(phi=0;phi<2*pi;phi=phi+pi/n) > > > > { > > > > for(g=0;g<=8;g=g+0.1) > > > > { > > > > per2=per1/2;f=1/per2; > > > > y2=y1+g*sin(2*pi*f*(t-t1)+phi); > > > > error2=LastValue(Cum(abs(y2-new1))); > > > > if(error2<error0) > > > > {error0=error2;g2=g;phi2=phi;} > > > > }} > > > > f2=1/per2;y2=y1+g2*sin(2*pi*f2*(t-t1)+phi2); > > > > Plot(y2+yy,"y1",colorYellow,8); > > > > Title=Title+ > > > > "\nyS2="+ > > > > WriteVal(g2,1.1)+"*sin(2*pi*(1/"+ > > > > WriteVal(per2,1.0)+")*(t-t1)+"+ > > > > WriteVal(12*phi2/pi,1.0)+"*pi/"+WriteVal(n,1.0)+"), > Error2 ="+ > > > > WriteVal(LastValue(Cum(abs(y2-new1))),1.0)+", Error2/bar > ="+ > > > > WriteVal(2*LastValue(Cum(abs(y2-new1)))/Daysback,1.2)+" > %";; > > > > // 3rd Harmonic > > > > error0=10000; > > > > for(phi=0;phi<2*pi;phi=phi+pi/n) > > > > { > > > > for(g=0;g<=8;g=g+0.1) > > > > { > > > > per3=per2/2;f=1/per3; > > > > y3=y2+g*sin(2*pi*f*(t-t1)+phi); > > > > error3=LastValue(Cum(abs(y3-new1))); > > > > if(error3<error0) > > > > {error0=error3;g3=g;phi3=phi;} > > > > }} > > > > f3=1/per3;y3=y2+g3*sin(2*pi*f3*(t-t1)+phi3); > > > > Plot(y3+yy,"y1",colorWhite,8); > > > > Title=Title+ > > > > "\nyS3="+ > > > > WriteVal(g3,1.1)+"*sin(2*pi*(1/"+ > > > > WriteVal(per3,1.0)+")*(t-t1)+"+ > > > > WriteVal(12*phi3/pi,1.0)+"*pi/"+WriteVal(n,1.0)+"), > Error3 ="+ > > > > WriteVal(LastValue(Cum(abs(y3-new1))),1.0)+", Error3/bar > ="+ > > > > WriteVal(2*LastValue(Cum(abs(y3-new1)))/Daysback,1.2)+" > %"; > > > > /* > > > > =============================== > > > > > > > > On 9/5/06, Ton Sieverding <ton.sieverding@> wrote: > > I certainly like what I see Fred. But do you have the > AFL code for this picture also ? > > Is this based on Fourier stuff ? I have tried to find > the FTT instructions in AFL but cannot find them. Do they exist in > AFL or did you use some special DLL ? > > > > Kind regards, > > Ton Sieverding. > > > > ----- Original Message ----- > > From: Fred Tonetti > > To: [email protected] > > Sent: Tuesday, September 05, 2006 6:18 AM > > Subject: [amibroker] Re: Cycles and Mesa > > > > > > > > For example . > > > > <<...>> > > > > > > > > ---------------------------------------------------------- > > I am using the free version of SPAMfighter for private > users. > > It has removed 8436 spam emails to date. > > Paying users do not have this message in their emails. > > Try SPAMfighter for free now! > > > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! ID required) <*> To change settings via email: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
