John F. Ehlers introuced his DFT-ADAPTED RELATIVE STRENGTH INDEX (RSI) in Jan, 2007.
In "Fourier Transform For Traders" in Jan, 2007, John Ehlers presented an interesting technique of improving the resolution of spectral analysis that could be used to effectively measure market cycles. Better resolution is obtained by a...
The Discrete Fourier Transform Indicator was written by John Ehlers and more details can be found at www.mesasoftware.com
I have color coded everything as follows: blue line is the dominant cycle, orange line is the power converted to decibels, and I have marked the other line as red if you should sell or green if...
This function implements the Goertzel algorithm (for integer N).
The Goertzel algorithm is a technique in digital signal processing (DSP) for efficient evaluation of the individual terms of the discrete Fourier transform (DFT).
In short, it measure the power of a specific frequency like one bin of a DFT, over a rolling window (N) of samples.
Here you see an...
This is the translation of discret cosine tranform (DCT) usage by John Ehler for finding dominant cycle period (DC).
The price is first filtered to remove aliasing noise(bellow 8 bars) and trend informations(above 50 bars), then the power is computed.
The trick here is to use a normalisation against the maximum power in order to get a good frequency...
John F. Ehlers introduced DFT Spectral Estimate in his "Cycle Analytics for Traders" chapter 9 on 2013.
The DFT is accomplished by correlating the data with the cosine and sine of each period of interest over the selected window period. The sum of the squares of each of these correlated values represents the relative power at each...
In digital signal processing knowing how a system interact with the frequency content of an input signal is extremely important, the mathematical tool that give you this information is called "frequency response". The frequency response regroup two elements, the amplitude response, and the phase response. The amplitude response tells you how the system modify the...