Any one tried any FFT, frequency stuff? Any working examples? Just wanted to get an idea how it could work... Thanks...
All kidding aside, what's a moving average? It's a low-pass filter. What's an oscillator? It's a high-pass filter. I just posted this link recently. The guy has some very good papers talking about applying signal processing techniques to price data.
I just want to point out the FFT and standard Fourier techniques don't have the resolution you need for trading.
FFT/harmonics will rarely work. An example of where it will work is prices for heating oil... there should be strong seasonality every year. For equities/indexes look at forecasting time series, keywords: non-stationary, unstable, transition shifts, structural breaks, regime switching. Somewhat related thread with mention of cycle forecasting: http://www.elitetrader.com/vb/showthread.php?postid=2605630
Given that you can implement any resolution (as long as it's a power of 2) and any wavelength of filter you desire with an FFT, this strikes me as an odd statement. Within a single transform, true, however not for the last data point in a generated series (as there is no future data). I'd be interested in reading your feedback on these comments.
FFT don't work on market data. I have worked with MEM, the berg algorithm and have my own version in CycleStudio for TradersStudio. Making MEM work with market data requires a lot of tricks and when developing my software it took 2-3 months to resolve all of these problems. John Ehlers is the one who first applied this method to market data and calls it MESA. I don't have MESA but my own version of MEM for market data.