Fourier harmonic oscillator
- Creatore Discussione isoica
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molto interessante, ma oltre le mie capacità di comprensione.
http://www.science-finance.fr/papers/9806101.pdf
http://www.science-finance.fr/papers/9806101.pdf
per chi fosse interessato ho trovato questo
You can have more details from this article.
http://www.omicronrsch.com/Technical Indicators/Indicators.htm
It requires a bit of physycs understanding and some math and Fourier Series.
This oscillator is aimed to reduce to the minimum the lag time as much as possible. Lag time makes all the usual traditional indicators very late to signal changes and are hardly profitable.
This indicator takes the name from the simple harmonic oscillator that is commonly used in physycs to describe oscillations and the relationship between elasticity and inertia. You can see a little demo at http://www.kettering.edu/~drussell/Demos/SHO/mass.html
If you think about it a stock looks like an elastic object that goes up and down (with a lot of noise in between): the higher it goes up the more energy loads up to come down (people that short it) and the same happens on the other side when it goes down (people that buy the dips...)
Fourier modes are very similar tbecause it also compute oscillations but this time the oscillations are calculated on price fluctuations (smoothed with a particular filter) using the price of the past plus the regression curve in the future. I find the latter a brilliant intuition.
The filter used is the Savitzky-Golay smoothing filter http://www.mathsource.com/Content/Applications/Engineering/Electrical/Signals/0206-930 used a lot in radio frequency to reducenoise.
The buy/sell signals are then flushed with the usual rate of change of the oscillator itself (derivative first) and the second derivative to compute the acceleration.
Once the derivative first turns positive it is a BUY, when it turns negative it is a SELL.
I find this a brilliant solution and the buy/sell signal are a lot more accurate and not laggers.
Let me know if you need any help understanding this concepts. I have no interests in that company and I do not use their software because I rewrote my own version by myself.
You can download the demo and see by yourself the buy/sell signal on the charts.
I'm planning to try the software myself in particular because I'm interested in the Markovitz portofolio management for the risk control and profit maximization and in the fundamental analysys curve for computing the fair value for the stock.
DIGL today stopped oscillating and the vibration reversed in the middle of the day and I covered the long and reversed short.
Of course, because of DIGL extremely high volatility, the oscillations are brutal and with an higher frequency. This stock goes up and down in 3-4 days time range which makes it very difficoult to trade.
However volatility is where you want to be if you are willing to increase your speculation risk and have a little fun. These are kinky stocks that you do not want to trade if you are a conservative investor.
bye
You can have more details from this article.
http://www.omicronrsch.com/Technical Indicators/Indicators.htm
It requires a bit of physycs understanding and some math and Fourier Series.
This oscillator is aimed to reduce to the minimum the lag time as much as possible. Lag time makes all the usual traditional indicators very late to signal changes and are hardly profitable.
This indicator takes the name from the simple harmonic oscillator that is commonly used in physycs to describe oscillations and the relationship between elasticity and inertia. You can see a little demo at http://www.kettering.edu/~drussell/Demos/SHO/mass.html
If you think about it a stock looks like an elastic object that goes up and down (with a lot of noise in between): the higher it goes up the more energy loads up to come down (people that short it) and the same happens on the other side when it goes down (people that buy the dips...)
Fourier modes are very similar tbecause it also compute oscillations but this time the oscillations are calculated on price fluctuations (smoothed with a particular filter) using the price of the past plus the regression curve in the future. I find the latter a brilliant intuition.
The filter used is the Savitzky-Golay smoothing filter http://www.mathsource.com/Content/Applications/Engineering/Electrical/Signals/0206-930 used a lot in radio frequency to reducenoise.
The buy/sell signals are then flushed with the usual rate of change of the oscillator itself (derivative first) and the second derivative to compute the acceleration.
Once the derivative first turns positive it is a BUY, when it turns negative it is a SELL.
I find this a brilliant solution and the buy/sell signal are a lot more accurate and not laggers.
Let me know if you need any help understanding this concepts. I have no interests in that company and I do not use their software because I rewrote my own version by myself.
You can download the demo and see by yourself the buy/sell signal on the charts.
I'm planning to try the software myself in particular because I'm interested in the Markovitz portofolio management for the risk control and profit maximization and in the fundamental analysys curve for computing the fair value for the stock.
DIGL today stopped oscillating and the vibration reversed in the middle of the day and I covered the long and reversed short.
Of course, because of DIGL extremely high volatility, the oscillations are brutal and with an higher frequency. This stock goes up and down in 3-4 days time range which makes it very difficoult to trade.
However volatility is where you want to be if you are willing to increase your speculation risk and have a little fun. These are kinky stocks that you do not want to trade if you are a conservative investor.
bye
