Overview: Wavelet Trend Nowcast Signal
Example 8. . The signal that opens positions if trend is identified on the given scale, and closing them if the end of trend is fond.
Here is the report of the non-optimized system. It shows remarkable robustness concerning the parameter NSigma from "theoretically proved" range 2-3 that corresponds 95-99 % of Gaussian noise amplitude. The concrete scale is expedient for choosing from the middle of scales, from the third to the fifth.
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{********************************************************
Non-decimated Haar Wavelet Trend Nowcast Signal
Copyright (c) Trade Smart Research Group 2002
Notes: The math is based on Multiresolution Analysis of Time Series
www.multiresolutions.com
********************************************************}
Inputs: Scale(5), {wavelet scale}
NSigma(3); {threshold value signal / noise}
vars: Wavelet(0), Sigma(0), Trend(0), countarray(0), num(1);
Array: ArrayPrice[511](0);
defineDLLFunc: "tswvl.DLL", FLOAT, "RUNWVL",LPFLOAT,int,float;
defineDLLFunc: "tswvl.DLL", FLOAT, "GETALLVALUES",int,int;
for countarray = 0 to 255 begin
ArrayPrice[countarray] = Close[countarray];
end;
Value1 = RUNWVL(&ArrayPrice[0], 8, NSigma);
Wavelet = GetAllValues(1, Scale);
Sigma = GetAllValues(2, Scale);
if Wavelet > NSigma * Sigma then Trend = 1
else
if Wavelet < - NSigma * Sigma then Trend = -1
else
Trend = 0;
if Trend = 1 then buy("NCast.LE") num contracts at close;
if Trend = -1 then sell("NCast.SE") num contracts at close;
if Trend = 0 and marketposition = 1 then ExitLong("NCast.LX") at close;
if Trend = 0 and marketposition = -1 then ExitShort("NCast.SX") at close;
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