Min and max will be computationally expensive if re-computed on the entire window each time. Fortunately, this is not necessary. As each new tick arrives, it is compared to Min and to Max. If it is bigger / smaller than Max/Min, it replaces them. This is O(1) operation as well.
A problem with computing differences / derivatives is that the results will be very noisy for most time series. The differencing / derivative operation is the opposite of averaging / integration. ________________________________ From: nonlinear5 <[email protected]> To: [email protected] Sent: Thu, December 23, 2010 8:03:38 AM Subject: Re: [JBookTrader] peak and reversal detection -> help needed Finding the min and the max value in a moving window will be computationally expensive, as it will essentially require 2*N operations on every sample. A more practical solution is to compute the acceleration (i.e., the second derivative of the Tension). The peak is where acceleration is near 0. The calculation would be an O(1) operation, as the only thing that would be involved is differencing the EMAs. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
