Questions tagged [digital-signal-processing]

7 questions with no upvoted or accepted answers
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4
votes
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197 views

Trading signal strength: [-1 to 1] or [predicted return]?

In the context of a backtesting engine, is it better to have strategy generate trade signals in the range from -1 to 1 or as exact predicted returns (e.g. -12% or 26%). The difference lies in how to ...
3
votes
0answers
423 views

Stock market cycles with Fourier Transform - amplitude vs. phase

There is this Wikipedia article on cycles in stock market data, which describes a 5-step process of finding dominant cycles in price data where step 2 reads: Step 2: Subsequently, a cycles engine ...
2
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0answers
144 views

Choosing Optimum Sampling Frequency

There was an interesting post made by Jonathan Kinlay where he discusses the use of a Fourier Transform to discover a potentially optimum bar frequency to choose as an input to a trading system. I am ...
2
votes
0answers
140 views

Scale of Market Quakes Computation

I would like to reproduce the results in the paper "The scale of market quakes", from T. Bisig, But I am getting stuck at the computation of the Fourier Coefficients in equation (4). They are defined ...
1
vote
0answers
35 views

Feedback on Video Metadata Extraction

I've developed/patented a metadata extraction methodology, which we've used to build a variety of alternative datasets for funds. One of the more difficult issues in this field, is getting useful ...
0
votes
0answers
56 views

What are your favourite benchmarks for signal (pre-trading strategy) backtesting?

In some situations, e.g testing the value of individual signals to be built into an ensemble method, it can be a bit too early to implement trading logic for the strategy needed to do a standard ...
-1
votes
1answer
201 views

interpreting huge jumps

i have been working on this trading system that uses digital filters to generate signals. the system works fine during normal market hours. but it goes haywire when there is news release. i have ...