Cycle Analytics for Traders, + Downloadable Software: Advanced Technical Trading Concepts

by John F. Ehlers

A technical resource for self-directed traders who want to understand the scientific underpinnings of the filters and indicators used in trading decisions This is a technical resource book written for self-directed traders who want to understand the scientific underpinnings of the filters and indicators they use in their trading decisions. There is plenty of theory and years of research behind the unique solutions provided in this book, but the emphasis is on simplicity rather than mathematical purity. In particular, the solutions use a pragmatic approach to attain effective trading results. Cycle Analytics for Traders will allow traders to think of their indicators and trading strategies in the frequency domain as well as their motions in the time domain. This new viewpoint will enable them to select the most efficient filter lengths for the job at hand.

Genres: Finance

256 pages, Hardcover

First published January 1, 2013

Reviews

[Sjors · Rating 3 out of 5]

A reference work covering various types of data filters used in so-called ‘technical analysis’ to discover trends and patterns in market price data. Filters are discussed with a good level of mathematical rigor.

Since I hold ‘technical analysis’ in the same regard as astrology, phrenology, graphology, or palmistry, I have little use for these tools. Hence my classification and rating.

I cannot resist quoting from this book to give the reader an idea of what to expect:

“The basic idea of the stochastic indicator is that it measures the current closing price relative to the lowest close over the observation range, and normalize that relative price to the range between the highest close and the lowest close over the observation range. Since finding the highest close and lowest close over the dominant cycle period is assured only by searching over the entire dominant cycle period, the entire dominant cycle period is used for the observation range in the calculations.The adaptive stochastic indicator starts with the computation of the dominant cycle using the autocorrelation periodogram approach. Rather than describing the computations, the reader is referred to the description in Chapter 8.”

And this ad infinitum… cycles and epi-cycles…

[Kem Bong · Rating 5 out of 5]

Ehlers is a god when it comes to signal processing applied to trading, he will slowly but surely guide you through smoothing, adaptive filter, transformer... he consider stock prices as a signal (ex: sound signals), MA as a low-pass filter (remove high frequency aka noise), Stochastic as a high-pass filter (remove low frequency aka detrend), then apply his knowledge in signal processing to create some magic, smoothing without too much lag. Adaptive filter is another example of his god tier knowledge, long gone the day you have to choose look back period for RSI, stochastic... they can now choose their own look back period based on the market condition (pre-AI era), how cool is that ;) The only complaint about this amazing book is that Ehlers considers every reader a math/physic high level researcher, the book has a lot of formulars, a lot of signals processing techniques, he overestimate his readers (like in the very first chapter: Demoivre theorem is a given, go figure it out yourself somewhere else) :)) but if you are good like really really good with math and/or physic (imaginery numbers are thrown at you at every step of the way, real numbers are for noobs) then this book worth its weight in gold.