I would like to build trading signals using cyclic analysis in order to obtain a forecast afterwards. I had a look in literature and Hurst analysis, Fourier, etc, are used
However, I am struggling to capture what really is the state of the art at moment. As I am not coming from finance but from engineering, I was more willing to use wavelet analysis as they better fit the non-stationary behaviour of a financial price.
In principle one can still use Fourier, but you need to detrend the data afterwards and you lose anyway the temporal scale that you instead have in wavelet (or in STFT).
Can anyone point me to the right direction on the state of the art? In case, you think cyclic analysis is not a good idea to generate trading signals, please elaborate the reasons why is that.