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- ngawang replied May 7, 2009
Delay in SNR — Hi Krzysztof, Here's an attempt to answer your original question about the delay in Signal to Noise calculations. The top half of the chart shows a synthetic price which cycles with period 20 for the first 460 observations. ...
- ngawang replied Apr 28, 2009
Missing Link — Krzysztof, Attached is a shot of the signal you posted a while back along with the signal to noise ratio the way I'm computing it now. In case it's not clear. The blue line is my attempt to replicate your 20 & 100 period sine ...
- ngawang replied Mar 20, 2009
What's the missing link? — Hi CB, This is great news that your strategy is paying off so handsomely. I hope that continues in all market environments. I'm getting to the point where I have almost all the pieces of the puzzle together to begin ...
- ngawang replied Mar 3, 2009
Causal / Non-Causal Filtering Idea — First of all, congratulations to CB on the great trading results. Hope this continues. I've been a bit swamped & so haven't been able to test that last idea about filtering forwards through the data and ...
- ngawang replied Feb 11, 2009
FIR Filter Coefficients based on R-Filter — Hi Gavner, Thank you for those papers. I read the Brazilian r-Filter paper. (On to the ECB paper next.) It's quite clear. I was able to get the following sharper frequency cutoff using the ideas from ...
- ngawang replied Feb 11, 2009
Not Too Shabby Filter... — Hi All, In case anyone was wondering, the 7 coefficient FIR Filter that CB rigged up a while back with the following coefficients: 0.328; 0.365; 0.211; 0.107; 0.033; 0.002; -0.048 Has the following Amplitude, Phase ...
- ngawang replied Feb 11, 2009
Filter Design — CB, In an earlier post, I mentioned that I was able to use rows from the inverted matrix of the HP Filter to create FIR Filter coefficients with zero lag. Unfortunately, this doesn't seem to be a general result. You have to ...
- Posts by Member Search: 'ngawang'