Rocket Science for Traders: Digital Signal Processing Applications
Predict the future more accurately in today's difficult trading times
The Holy Grail of trading is knowing what the markets will do next. Technical analysis is the art of predicting the market based on tested systems. Some systems work well when markets are "trending," and some work well when they are "cycling," going neither up nor down, but sideways. In Trading with Signal Analysis, noted technical analyst John Ehlers applies his engineering expertise to develop techniques that predict the future more accurately in these times that are otherwise so difficult to trade. Since cycles and trends exist in every time horizon, these methods are useful even in the strongest bull--or bear--market.
John F. Ehlers (Goleta, CA) speaks internationally on the subject of cycles in the market and has expanded the scope of his contributions to technical analysis through the application of scientific digital signal processing techniques.
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INTRODUCTION TO THE SCIENCE OF DIGITAL SIGNAL ANALYSIS
MEASURING CYCLE PERIODS
FINITE IMPULSE RESPONSE FILTERS
INFINITE IMPULSE RESPONSE FILTERS
MAMATHE MOTHER OF ADAPTIVE MOVING AVERAGES
MEASURING MARKET SPECTRA
OPTIMUM PREDICTIVE FILTERS
THE SINEWAVE INDICATOR
THE INSTANTANEOUS TRENDLINE
IDENTIFYING MARKET MODES
DESIGNING A PROFITABLE TRADING SYSTEM
WHAT YOU SEE IS WHAT YOU GET
MAKING STANDARD INDICATORS ADAPTIVE
2*Period 4-bar WMA 4*Price 50 then Period 67*SmoothPeriod[1 90 degrees Advance the phase alpha amplitude analytic signal analytic waveform applying the discriminator bar averaging Butterworth filter calculation Chapter Chart created complex number components before applying Compute InPhase created with TradeStation2000i CurrentBar cutoff Cycle Mode cycle period measurement DCPeriod DCPhase DeltaPhase Detrender Detrender(0 digital signal processing dominant cycle period EasyLanguage code Ehlers filter equation Exponential Moving Average filter coefficients FIR filter function Gaussian filter Hilbert Transformer Homodyne Discriminator imaginary numbers Impulse Response Infinite Impulse Response InPhase and Quadrature InPhase component input Instantaneous Trendline momentum Moving Average EMA Omega Research Optimum Predictor output passband Period(0 Period[1 phase lag phase rate phasor Phasor addition phasor diagram Q components Quadrature components rate of change shown in Figure sine wave Sinewave Indicator Smooth(0 SmoothPeriod TradeStation trading system transfer response Trend Mode window width Z Transform ZeroLag