Elementary Fourier analysis

Discussion in 'Technical Analysis' started by TSOKAKIS, May 6, 2004.

  1. Here is the comparison of my Elementary Fourier AFL analysis and FFT usual procedure.
    The sample was 921 bars of the Nikkei smoothed RSI.
    The error is decreased and, the most important, the fundamental period is more expressive.
     
    #21     May 13, 2004
  2. Well, it seems a little bit complicated?
     
    #22     May 13, 2004
  3. You may see now the FFT comparison and the results. The concept of my Elementary Fourier analysis is a bit different.
     
    #23     May 13, 2004
  4. What is complicated, the concept or the code ?
    The concept, ie the sinusoidal analysis of a non-periodic function is quite common in theoretical and applied maths/engineering etc
    The code is not bad, some friend may give a shorter one via C++ translation [if he comes to some result, I will let you know...]
    Using Amibroker 4.50 in a PIII/800, 64MB RAM, it takes ~8sec for a 1000bar history.
    FFT is quite faster but not that accurate.
     
    #24     May 13, 2004
  5. Oh, so simple?
     
    #25     May 13, 2004
  6. Note also that the described procedure is innovative and unique in the T/A literature, as far as I know.
    The statistical softwares usually include FFT [or DFT] but their use is limited, inaccurate, work with 2^n series [512, 1024, 2048, ... bars], suffer from the end-point effect and, practically, are not designed for T/A applications.
     
    #26     May 13, 2004
  7. Thanks for your contribution -- keep it coming.
     
    #27     May 13, 2004
  8. Here is another comparison of the EFA [Elementary Fourier Analysis] versus the FFT [Fast Fourier Transformation].
    In FFT I used the 7 most significant terms, filtering out the amplitude>0.05.
    In EFA I used the fundamental period P and the harmonics P/2, P/3, P/4 and P/5.
    The visual [and the detailed] comparison is obvious.
    Since FFT prefers 2^n bars [256, 512, 1024 etc] it has a lot of problems after the first 512 bars.
    [my sample was an 921-bar smoothed Nikkei RSI]
    Dimitris Tsokakis
    [I used DaDisp_SE2000 for FFT and Amibroker 4.50 for EFA ]
     
    #28     May 14, 2004
  9. Are you sure about 3rd Harmonic?
     
    #29     May 14, 2004
  10. Yes, of course. Did you see any problem ?
     
    #30     May 14, 2004