The WAMI-based trading lies in the application and iteration of the optimization process until the indicated trades on past market data give consistent, profitable results. It is rather difficult process based on Fourier analysis. You can to change Trigger parameter for to get best values of strategy.
I am trying to explore the possibility to make a Fourier analysis of price using Pine Script, bu I do not how to do it.
Here you are saying that your study is based on Fourier analysis. I do not get it? How is this script capturing the Fourier analysis method?
I do not understand what is the meaning of : ema(ema(wma(mom(close, 1),Length_WMA),Length_EMA),Length_EMA), what is the final result for? what is the mathematical meaning? what is the practical meaning?
I just code it. I can`t give a comments about this method. Sorry.
jalp51
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@HPotter, Ok, but at least, I just want to understand the line:
xWAMI = ema(ema(wma(mom(close, 1),Length_WMA),Length_EMA),Length_EMA)
Is this something like a TRIX (TRIPLE EXPONENTIAL MOVING AVERAGE OSCILLATOR) calculation? it looks similiar, however there are 2 ema's and 1 wma instead of 3 ema's and the internal value is the momentum instead of the close. Could you just provide a little explanation about it.
Thank you.
JL.
HPotter
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@jalp51, xWAMI take as source data a momentum value. Then calc wma and then double ema.
IsraelDuvdavan
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Over what time duration did you back test this on?
o you have this compiled in Ninja script as an EA? i'd like to do some tweaking on it
if thats cool with you?
HPotter
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What kind tweaking?
IsraelDuvdavan
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Just some parameter editing, seeing what kinda of results i'd get under different conditions :)
HPotter
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I do not have a Ninja script. But I can try make parameters in this pine script.
IsraelDuvdavan
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Oh I see, i'm not sure if i'll be able to find a way to work with that as I do robustness tests using Monte Carlo Analysis, Step Forward Analysis anti curve fitting etc
However i'll see what I can do and post a reply as to its edge over the market.
If its reliable it should have paralelism of at least 70% on different instruments, time frames and market conditions
I am trying to explore the possibility to make a Fourier analysis of price using Pine Script, bu I do not how to do it.
Here you are saying that your study is based on Fourier analysis. I do not get it? How is this script capturing the Fourier analysis method?
I do not understand what is the meaning of : ema(ema(wma(mom(close, 1),Length_WMA),Length_EMA),Length_EMA), what is the final result for? what is the mathematical meaning? what is the practical meaning?
Thank you! and nice work!