While analyzing the time
series it is possible to determine the parts where the process is clause to
quasi-stationary one and it means that it is possible to apply the analysis
methods which are also applicable to quasi-stationary processes and to make a
prognosis of the time series behavior in the future. Lets determine the sample
of time series which can be considered as quasi-stationary and make a spectral
analysis on it. We can get the spikes on the spectrogram – the significant
periods on bars. We consider these periods to be the results of the certain investors
groups activity. Let determine the cycles on the time series which
is prognozable.
In my opinion spectroanalysis
usage for currency quotations without preliminary extracts preparation is
incorrect. Taking into account that the research of some quotations shows that
we deal with non-stationary time series , and spectroanalysis methods are
suitable only for stationary time series we shall make a spectoanalysis of H4 quotations gbpjpy, full extracts and half of
extracts as we see from pictures spectrum of quotations “vary”.
GPBJPY H4 (2004.06.16 -2008.05.01) - Full extracts
GPBJPY H4 (2006.06.1 -2008.05.01) - Half extracts
In mathematic statistics for
transition from non-stationary process to stationary different transformations
are used. Their essence consists in the following. Let’s assume that there is a
row R0 = {X01, X02, …, X0n} then differential transformation of 1-st order from
R0 will be number R1 = {X11, X12, …, X1n-1}, where X1i = X0i+1-X0i (1). As a
matter of fact, the sequence received by the following way, is a number of increments
of initial process.
closeN
= closeN – close(N+1)
GPBJPY H4 (2004.06.16 -2008.05.01) - Full artificial extracts
Let's make spectroanalysis for the received sequence. Also as well as in
an example for regular extracts we shall take half of artificial extracts and
all artificial extracts.
Digital Filters for dominant frequency (STLM)
We have coded
Expert Advisor Trafalgar GBPJPY based on these
MetaTrader digital Filters (STLM)New
Expert Advisor Trafalgar GBPJPY
Strategy
Tester Report: *
http://iticsoftware.com/experts/report/Trafalgar-GBPJPY-H4.htm
Initial deposit: 10000.00
(Lot = 1)
Total net profit: 89412.16 (2004.07.09 - 2008.04.24) 1943USD / per
month
Maximal drawdown: 16.31%
currency: GBPGPY
Timeframe: H4
Using Indicators: Digital
Filters
Trading Time: Round-the-clock
Risk: Medium
Minimum Deposit:
$1000
Recommended Deposit: $2000
Orders Type: BUY and SELL market
orders
Concept: Digital Filters Trading Strategy
Money Management: Stop
Loss and Take Profit
Customization: possible upon the request
Expert Advisor Trafalgar GBPJPY was optimized for FXDD broker
Strategy Tester Report*
Initial deposit: 10000.00 (Lot = 1)
Total net profit: 59778.73 (2007.01.31 - 2008.05.02 ) 3985 USD / per month
Maximal drawdown: 18.58%
More information on our website: http://iticsoftware.com
* HYPOTHETICAL
PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED
BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO
ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY
SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL
RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE
LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IN THAT THEY ARE GENERALLY
PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES
NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY
ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE
ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN
SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT
ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS
IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT
BE FULLY COUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND
ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING
RESULTS.
BJF Trading Group
http://iticsoftware.com
Comments