What TJ posted was simply an EXAMPLE of how to use the FFT that he
built into the product ...
What you are asking for is easily doable
in AFL by downshifting the
data array by the difference between
LastValue(BarIndex()) and
either SelectedValue(BarIndex())
or EndValue(BarIndex()) and then
basing the AFL calculations on
SelectedValue or EndValue ( Range
Marker ) respectively rather than
LastValue ...
--- In [EMAIL PROTECTED]ps.com,
"Ton Sieverding"
<ton.sieverding@...> wrote:
>
> I
agree with PS, Thomasz. For BackTesting purposes it would have
been nice
to be able to select the last value in de FFT. Also for
other analysis
like checking the stability of the first harmonic, it
would have been nice
to have a last value selection in FFT not being
the last value of the
financial timeserie. Now I first must cut the
timeserie in several parts
in order to do that. Or am I missing
something ?
>
>
Ton.
>
> ----- Original Message -----
> From: Tomasz
Janeczko
> To: [EMAIL PROTECTED]ps.com
> Sent: Thursday, October 12, 2006 9:19 PM
> Subject: Re:
[amibroker] Re: FFT example (4.86 beta required)
>
>
>
Hello,
>
> Yes it uses last value. But if you are after finding
cycles
> you have to assume anyway that given cycle will last at least a
bit,
> without such assumption there are no cycles :-)
> So
last value from say one year back should work forward.
>
> Best
regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original
Message -----
> From: "vlanschot" <[EMAIL PROTECTED]>
> To: <[EMAIL PROTECTED]ps.com>
>
Sent: Thursday, October 12, 2006 12:42 PM
> Subject: [amibroker] Re: FFT
example (4.86 beta required)
>
> > Thanks TJ,
> >
> > Just wondering if I am correct that one has to be careful in
> > extending this in backtests, since detrending (LR) is based on
the
> > last value of the regression?
> >
> >
PS
> >
> > --- In [EMAIL PROTECTED]ps.com,
"Tomasz Janeczko" <groups@>
> > wrote:
>
>>
> >> Hello,
> >>
> >> Here are
few words about new FFT function.
> >> It requires AmiBroker 4.86
BETA to run.
> >> http://www.amibroker.com/devlog/2006/10/11/amibroker-4860-
beta-
>
> released/
> >> ===============
> >>
>
>> FFT( array, len = 0 )
> >>
> >> performs FFT
(Fast Fourier Transform) on last 'len' bars of
the
> > array, if
len is set to zero, then FFT is performed
> >> on entire array.
len parameter must be even.
> >>
> >> Result:
>
>>
> >> function returns array which holds FFT bins for
first 'len'
bars.
> > There are len/2 FFT complex bins
returned,
> >> where bin is a pair of numbers (complex number):
first is
real part
> > of the complex number and second
number
> >> is the imaginary part of the complex number.
>
>>
> >> result = FFT( array, 256 );
> >>
> >> where:
> >> 0th bin (result[0] and result[1])
represents DC component,
> >> 1st bin (result[1 ] and result[2])
represents real and
imaginary
> > parts of lowest frequency
range
> >> and so on upto result[ len - 2 ] and result[ len - 1
]
> >>
> >> remaining elements of the array are set
to zero.
> >>
> >> FFT bins are complex numbers and
do not represent real
amplitude
> > and phase. To obtain
amplitude and
> >> phase from bins you need to convert inside the
formula. The
> > following code snipplet does that:
> >>
> >> ffc = FFT(data,Len);
> >> for( i = 0; i
< Len - 1; i = i + 2 )
> >> {
> >> amp[ i ] =
amp[ i + 1 ] = sqrt(ffc[ i ]^ 2 + ffc[ i + 1 ]
> > ^2);
>
>> phase[ i ] = phase[ i + 1 ] = atan2( ffc[ i + 1], ffc[ i ] );
> >> }
> >>
> >> IMPORTANT note: input
array for FFT must NOT contain any Null
> > values. Use Nz()
function to convert Nulls to zeros
> >> if you are not sure that
input array is free from nulls.
> >>
> >>
>
>> Below is example code showing how to use new FFT function in
AFL.
> >>
> >>
SetBarsRequired(100000,100000);
> >>
> >>
Len = Param("FFT Length", 1024, 64, 10000, 10 );
> >>
>
>> Len = Min( Len, BarCount );
> >>
> >> x =
BarIndex();
> >> x1 = x - BarCount + Len;
> >>
> >>
> >> input = C;
> >> a =
LastValue( LinRegIntercept( input, Len - 1 ) );
> >> b =
LastValue( LinRegSlope( input, Len - 1 ) );
> >>
>
>>
> >> Lr = a + b * x1;
> >>
>
>> data = "" - Lr;// de-trending
> >>
> >>
ffc = FFT(data,Len);
> >>
> >> for( i = 0; i
< Len - 1; i = i + 2 )
> >> {
> >> amp[ i ] =
amp[ i + 1 ] = sqrt(ffc[ i ]^ 2 + ffc[ i + 1 ]^2);
> >> phase[ i
] = phase[ i + 1 ] = atan2( ffc[ i + 1], ffc[ i ] );
> >> }
> >>
> >> auto = ParamToggle("Auto dominant
cycle", "No|Yes", 1 );
> >> sbar = Param( "Which FFT bin", 1, 0,
50 );
> >>
> >> skipbin1 = ParamToggle("Skip
1st FFT bin", "No|Yes", 1 );
> >>
> >> if( auto )
> >> {
> >> sbar = int( LastValue(ValueWhen(
amp == LastValue(Highest( IIf
(
> > skipbin1 AND x < 4, 0 ,
amp ) )), x / 2 )) );
> >> }
> >>
> >>
fv = Status("firstvisiblebar");
> >>
> >>
thisbar = Ref( int(x/2) == sbar, -fv);
> >> Plot(
Ref(amp,-fv),"amplitude (bin " + Ref( int(x/2), -fv )
+")",
>
> IIf( thisbar, colorRed, colorBlack ),styleArea);
> >>
> >> Plot( IIf( BarCount - BarIndex() < Len, data, Null ) ,
"de-
trended
> > input ("+Len+" bars)", colorOrange,
styleLeftAxisScale );
> >> Plot( cos( phase[ sbar * 2 ] + (sbar)
* x1 * 2 * 3.1415926 /
> > Len ), "dominant cycle "+ Len/(sbar) +
"(" + sbar + " bin)
bars",
> > colorBlue, styleOwnScale );
> >>
> >> GraphZOrder=1;
> >>
GraphXSpace = 10;
> >>
> >> Best regards,
>
>> Tomasz Janeczko
> >> amibroker.com
>
>>
> >
> >
> >
> >
> >
> > 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
> >
>
>
> >
> >
> >
>
>
>
