Recent content by Krzysiaczek99

all togehter and all of them together. Clearly Wavelet seems to look the best but if any of them will improve predictive power of the models its another story....as checked in previous posts EhlerSS actually decreased performance of the predictive algos. When I will get access to my computer...

EMD denoising And here is SNR obtained using Huang's Empirical Mode Decomposition where IMFs with Hurst Exponent < 0.5 are discarded. Very noisy !!!! Ater smoothing with 1000 SMA looks better. Second picture for H=0.5, 0.6 and 0.7.

Wavelet denoising And here is SNR obtained using Wavelet smoothing. It was measured on 1 min data every 60 min for different observation windows (1 day, 5days, 20 days). Wavelet used was MODWT 'Haar' with hard thresolding

Ehler supersmoother and SMA Some time ago by visual inspection I found out that Ehler Super smoother (see post 281 for his video presentation) performs exactly the same like SMA with half of the Ehler SS period. Now I measured exact SNR of SMA and EhlerSS. Here is a picture. So I don't know...

denoising and SNR Recently I was working on denosing market data and here is some results which i want to share. It's written in a lot of papers that denoising of marktet data improves predictive power of certain predictive algos (e.g ARIMA) so why not to check it. Here is a little function for...

2nd attempt Its my second attempt to denoise the data using Ehler SS. This time I denoised inputs partially i.e. price returns only. PF returned to previous value (1.09 vs 1.1 when no denoising) but still not improvement. So conclusion for me is that Ehler SS does not improve at all the...

MATLAB + MT4. Communication using file. Its described here https://www.mql5.com/en/articles/1489 Krzysztof

Target is to make profit so successful trade (TP) or class 1. If you lost money class is 0 (FP). Krzysztof

John Ehler's supersmoother I think I did this test some time ago but now is a new era of my system so why not to repeat this test, simple to filter the price data using John Ehler's super smoother. According to him the aliasing noise and spectral dilation should go away so it should be much...

MMI filtering Hello everybody, Recently I got inspired by post about Market Meanness Index from Financial Hacker. More info about it is here: http://www.financial-hacker.com/the-market-meanness-index/ http://www.financial-hacker.com/boosting-systems-by-trade-filtering/ As I have big database...

backtest report Here is a backtest report for a period of 11 months (Apr 2016 - Jan 2017) for 8 symbols. Clearly period July - Oct was a down period for portfolio, however some symbols were profitable. Live test is ongoing. As per today prediction of the system for next days/weeks is...

Like 600 0.01 size and in case of S&P 0.1 size for 8 trading symbols Krzysztof

I can confirm that ThinkForex has unlimited number of orders but microlots for FOREX and minilots for SP500. If someone knows another brokers please reply to this thread. Krzysztof

I don't rent, Its my private. I created it from a few old servers, you can buy them really cheap now. Before I was using a few 8core PCs but it was not enough. Krzysztof

MATLAB pararell toolbox Krzysztof