As I think you suggest, neither is the Holy Grail. FFT can certainly not compete in the resolution department with MESA without invalidating the requirement of constancy of amplitude and phase because of the need for large data lengths in order to achieve resolution. So, using short data lengths MESA shoots for high resolution of short-term cycles and knowingly accepts some statistical penalty. Even so its still not Shangri La because short-term cycles will most probably not be present over longer periods that are of interest to traders/investors. Ehlers cleverly takes care of this by dividing the world into trending and non-trending and arguing that short-term cycles will be a major player in non-trending markets but not in trending markets (very useful insight). He then throws in the towel and emphasizes trading in trending markets (short-term trading is too tough?).
Bill ----- Original Message ----- From: "Fred" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Tuesday, March 27, 2007 3:42 PM Subject: [amibroker] Re: FFT > Not to get into semantics ... But yes and this is because one > usually uses MESA with shorter data samples where the shorter term > cycles are not overwhelmed by the longer cycles which typically have > larger amplitudes. While interesting for some things FFT's don't > really have particularly good granularity as cycle length approaches > half the size of the data being examined. MESA doesn't suffer from > this. > > --- In [email protected], "wavemechanic" <[EMAIL PROTECTED]> wrote: >> >> Yes, that's right - handle is the wrong word and should be find, > reveal, uncover, etc. This ability is of particular interest to > short-term traders. >> >> Bill >> >> ----- Original Message ----- >> From: "Fred" <[EMAIL PROTECTED]> >> To: <[email protected]> >> Sent: Tuesday, March 27, 2007 2:04 PM >> Subject: [amibroker] Re: FFT >> >> >> > MESA doesn't really have the ability to handle shorter cycles > per >> > se ... >> > >> > What it does have is the ability to pull cyclical information > out of >> > shorter samples of data. >> > >> > --- In [email protected], "wavemechanic" <fimdot@> wrote: >> >> >> >> No, I'm not saying that MESA will give better results than >> > a "better" FFT (is MESA a "better" FFT?). That judgment cannot > be >> > made until you leave the hypothetical and have a "better" FFT to >> > talk about. Until then statistics help identify valid cycles > and >> > MESA offers some advantages, including noise filtering and > ability >> > to handle shorter cycles. Good luck in your search. >> >> >> >> Bill >> >> >> >> ----- Original Message ----- >> >> From: Ton Sieverding >> >> To: [email protected] >> >> Sent: Tuesday, March 27, 2007 3:24 AM >> >> Subject: Re: [amibroker] FFT >> >> >> >> >> >> So what you are saying is - 'Beyond that one can go to MESA' - > >> > that even after I should have found whatever modified version of >> > FFT, MESA will give me better results. In other words, why > playing >> > with FFT if MESA is the right way to go. Is that your opinion or > am >> > I missing something ? >> >> >> >> Ton >> >> >> >> >> >> ----- Original Message ----- >> >> From: wavemechanic >> >> To: [email protected] >> >> Sent: Monday, March 26, 2007 2:42 PM >> >> Subject: Re: [amibroker] FFT >> >> >> >> >> >> >> >> The restrictions associated with FFT that Ehlers mentions > can >> > be found in any textbook. As for better results with FFT, the > next >> > step is to evaluate the cycles statistically (e.g., Bartels, F- >> > ratio, chi-square, etc.). Beyond that one can go to MESA and > such. >> >> >> >> Bill >> >> ----- Original Message ----- >> >> From: Ton Sieverding >> >> To: [email protected] >> >> Sent: Monday, March 26, 2007 2:58 AM >> >> Subject: Re: [amibroker] FFT >> >> >> >> >> >> Frankly for me these are John Ehlers typical arguments to >> > use his MESA model in stead of FFT and has nothing to do with a >> > discussion. The question for me still remains if there really is > no >> > way to get better results with FFT than the ones we have got ? > If >> > Fourier analysis is correct and it's possible to simulate > whatever >> > continues timeseries with a bunch of sinewaves and if MESA can > give >> > me the correct harmonics, it should also be possible to obtain > the >> > same results with a modified version of FFT. Question is how ? >> >> >> >> Ton Sieverding. >> >> >> >> ----- Original Message ----- >> >> From: wavemechanic >> >> To: AmiBroker, User >> >> Sent: Monday, March 26, 2007 1:27 AM >> >> Subject: Re: [amibroker] FFT >> >> >> >> >> >> >> >> There is a discussion of FFT use and problems on Ehlers >> > MESA website: >> >> >> >> http://www.mesasoftware.com/fftcomparison.htm >> >> >> >> Bill >> >> >> >> ----- Original Message ----- >> >> From: Ara Kaloustian >> >> To: AB-Main >> >> Sent: Sunday, March 25, 2007 3:16 PM >> >> Subject: [amibroker] FFT >> >> >> >> >> >> I was playing with AB's FFT code that TJ provided... >> >> >> >> The cycles seem to shift relative to the data, based > on >> > how many data points are analyzed. This is of course expected. >> >> >> >> Question: >> >> >> >> Has anyone found a way to determine optimum number of >> > data points to analyze, and then determine the relevance of the >> > dominant cycle, or find any relevant cycles? >> >> >> >> Most of the time the dominant cycle seems to be the >> > largest one available. >> >> >> >> Has anyone been able to use these cycles succesfully? >> >> >> >> Ara >> >> >> >> >> >> ---------------------------------------------------------------- > --- >> > --- >> >> >> >> >> >> No virus found in this incoming message. >> >> Checked by AVG Free Edition. >> >> Version: 7.5.446 / Virus Database: 268.18.17/732 - >> > Release Date: 3/24/2007 4:36 PM >> >> >> >> >> >> >> >> >> >> ---------------------------------------------------------------- > --- >> > ------- >> >> >> >> >> >> No virus found in this incoming message. >> >> Checked by AVG Free Edition. >> >> Version: 7.5.446 / Virus Database: 268.18.18/733 - > Release >> > Date: 3/25/2007 11:07 AM >> >> >> >> >> >> >> >> >> >> >> >> ---------------------------------------------------------------- > --- >> > ----------- >> >> >> >> >> >> No virus found in this incoming message. >> >> Checked by AVG Free Edition. >> >> Version: 7.5.446 / Virus Database: 268.18.18/734 - Release > Date: >> > 3/26/2007 2:31 PM >> >> >> > >> > >> > >> > >> > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >> > http://www.amibroker.com/devlog/ >> > >> > For other support material please check also: >> > http://www.amibroker.com/support.html >> > >> > Yahoo! Groups Links >> > >> > >> > >> > >> > >> > >> > -- >> > No virus found in this incoming message. >> > Checked by AVG Free Edition. >> > Version: 7.5.446 / Virus Database: 268.18.18/734 - Release Date: > 3/26/2007 2:31 PM >> > >> > >> > > > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > > Yahoo! Groups Links > > > > > > > -- > No virus found in this incoming message. > Checked by AVG Free Edition. > Version: 7.5.446 / Virus Database: 268.18.18/734 - Release Date: 3/26/2007 > 2:31 PM > >
