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ROCKET FOR TRADERS
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FOR TRADERS,WILEYTRADING,Beyond CandlesticksfSteve Nison. Beyond Technical Analysis Second Editionl hshar Chande. Contrary OpinionlR Earl Hadady,Cybernetic Trading StrategieslMurrayA Ruggiero Jr. Encyclopedia of Chart PatternslThomasBulkowski,Expert TradingSystemslJohn R Wolberg. Four Stepsto Trading SuccesslJohnF Clayburg,Fundamental AnalysislJackSchwager. Gaming the MarketlRonald B Shelton, Genetic Algorithms and Investment StrategieslRichard J Bauer Jr.
Intermarket Technical AnalysislJohn J Murphy, Long Term Secretsto Short Term Tradingllarry Williams. Macro Tradingand Investment StrategieslGabriel Burstein. Managed TradinglJack Schwager,McMillan on OptionslLawrence G McMillan. Neural Network Time Series Forecasting of Financial MarketslE Michael Azoff. New Market Timing TechniqueslThomas R DeMark,Nonlinear PricinglChristopher T May. Option Market MakinglAlan J Baird,Option Strategies Second EditionlCourtney Smith. Pattern Price e9 TimelJames A Hyerczyk,Point and Figure ChartinglThomas J Dorsey.
Profits from Natural ResourceslRoland A Jansen, Rocket Sciencefor Traders Digital Signal ProcessingApplicationsfJohn F Ehlers. Schwager on Futures1 Jack Schwager,SeasonalitylJakeBernstein. Stock Index Futures e9 OptionslSusan Abbott Gidel, Study Guide for Trading fora LivinglDr Alexander Elder. Study Guide to Accompany Fundamental AnalysislJackSchwager. Study Guide to Accompany TechnicalAnalysislJack Schwager. Technical AnalysislJack Schwager, Technical Analysisof the Options MarketslRichard Hexton. Technical MarketIndicatorslRichard J Bauer Jr and Julie R Dahlquist. The Day Trader sManuallWilliam F Eng, The Dynamic Option Selection SystemlHoward L Simons.
The HedgeFund EdgelMark Boucher,The Intuitive TraderlRobert Koppel. The Mathematics of Money ManagementlRalph Vince,The NewMarket WizardslJack Schwager. The New Money ManagementlRalph Vince, The New Options Market Fourth EditionlMax Ansbacher. The New Science of Technical AnalysislThomas R DeMark. The New Technical Traderlnshar Chande and StanleyS Kroll. The Option AdvisorlBernie G Schaeffer,The Options CourselGeorgeA Fontanills. The Options Course WorkbooklGeorgeA Fontanills, The Trader s Tax Survival Guide Revised EditionlTed Tesser.
The Trader s Tax SolutionlTed Tesser,The Trading GumelRyan Jones. The Ultimate Trading GuidelJohn Hill George Pruitt Lundy Hill. The Visual InvestorlTohn1 Mumhv,Trader Vic IIlVicto Sperandeo. Trading Applicationsof Iapanese Candlestick ChartinglGaryWagner and Brad Matheny. Trading ChaoslBill Williams,Zkadinn for a LivindDr Alexander Elder. Trading Systems Methods Third EditionlPerry Kaufman. Trading the PlanlRobertDee1,Trading to WinlAri Kiev. Trading with Crowd PsychologyICarl Gyllenram,Trading without FearlRichard W Arms Jr.
FOR TRADERS,Digital Signal Processing Applications. John F Ehlers,John Wiley Sons Inc, New York Chichester Weinheim Brisbane Singapore 0 Toronto. T h i s book is printed on acid free paper, Copyright 0 2001 by John F Ehlers All rights reserved. Published by John Wiley hSons Inc,Published simultaneously in Canada. N o part of this publicationmay be reproduced stored in a retrieval system or transmit. ted in any form or by any means electronic mechanical photocopying recording scan. ning or otherwise except as permitted under Section 107 or 108 of the 1976 United. States Copyright Act without either the prior written permission of the Publisher or. authorization through paymentof the appropriate per copy feeto the Copyright Clear. ance Center 222 Rosewood Drive Danvers MA 01923 978 750 8400 fax 978 750. 4744 Requests to the Publisherfor permission shouldbe addressed to the Permissions. Department John Wiley h Sons Inc 605 Third Avenue New York NY 10158 0012. 212 850 6011 fax 212 850 6008 E Mail PERMREQ WKEY COM. This publication is designed to provide accurate and authoritative information in regard. to thesubject mattercovered It is sold with the understandingthat thepublisher is not. engaged in rendering professional services If professional advice or other expert assis. tance is required the servicesof a competent professional personshould be sought. Library of Congress Cotdoging in Publicotion Doto,Ehlers John F.
Rocket science for traders digital signal processing applications John F Ehlers. p cm Wiley trading,ISBN 0 471 40567 1 cloth alk paper. 1 Investment analysis Mathematical models 2 Stocks Prices Mathematical. models 3 Signalprocessing Digital techniques I Title II Series. HG4529 E492001,332 63 2042 01154 dc21 2001017853,Printed in theUnited Statesof America. l 0 9 8 7 6 5 4 3 2 1,To Elizabeth my friend m y companion m y wife. This Page Intentionally Left Blank,PREFACE LIFT OFF. A n y sufficiently advanced technologyis,indistinguishable from magic.
Sm ARTHUR c CLARKE, The advances madein computer technology during the past two. decades have been dramatic The computer power to which we. have access today is far greater and more powerful than that. which was available to the entire national defense system just. 30 years ago Software for traders however has not kept pace. Most of the trading tools available todayare neither different nor. more complex than the simple pencil and paper calculations. that canbeachieved through the use of mechanical adding. machines True these calculations are now made with blinding. speed and presented in colorful and eye grabbing displays but. the power and usefulness of these procedures havenot changed. If anything the relative power of the calculations has dimin. ished because the increasedspeed of information exchange. and increased market capitalization have caused fundamental. shifts in the technical character of the market These shifts. include increased volatility and shorter periods for the market. Rocket Science for Traders promises to revolutionize the art. of trading by introducing modern digital signal processingto the. playing field The application of digital signal processing offers. viii Preface, the advantage of viewing old problems from a new perspective. The new perspective gained by digital signal processing has led to. the birth and developmentof some profoundly effective new trad. ing tools The advances in new trading tools along with thecon. tinuing advancements in hardware capabilities virtually ensure. the continued application of digitalsignalprocessing inthe. future The trader whomasters the fundamental concepts of digi. tal signal processing therefore will find great advantage when. approaching the volatile market of the twenty first century. A brief introductory chapter is followed by Chapter 2 in. which the philosophical basesforTrendModesandCycle. Modes are established through a look at solutions to a con. strained version of the Random Walk problem Specific indica. tors that target each of these modes are developed later in the. book Chapters 3 and 4 include observations about conventional. technical analysis tools with special attention given to some of. their common pitfalls, The basis of efficient digital signal processing i s the use of. complex arithmetic for all computations Since complex vari. ables are often completely foreign to most traders a brief review. and introduction to phasors are provided in Chapter 5 The com. mon waveforms with which everyone is familiar are calledana. lytic waveforms These are converted into complex variables. using the Hilbert Transform as described in Chapter 6 The abil. ity of the Hilbert Transform to meet therequirements of traders. means little if the system is notused alongside a measurement. of the market cycle Several differentalgorithms for cyclemeas. urement are therefore described and comparedin Chapter 7. The Homodyne Discriminator proves itself to be the preferred. algorithm and is thus used throughout the remainder of the book. Chapters 8 through 12 develop unique indicators from the com. plex variable waveforms These include the Signal to Noise Ratio. which indicates when trading should be avoided the Sinewave. Indicator which anticipates Cycle Mode turning points without. creating false whipsaw signalsin the Trend Mode an Instanta. neous Trendline andthe logic to automatically ascertain the cur. rent t r a m mode of the market These conceptsare then. combined to form a profitable automatic trading system. Preface ix, The use of digital signal processing fortrading almost always. involves the employment of filters Digital filter transfer re. sponses aremost efficiently described using Z Transforms which. are described in Chapter 13 The most common Finite Impulse. Response FIR and Infinite Impulse Response IIR filters are. described in Chapters 14 and 15 including equations to com. pute filters on the fly as well as tabulated coefficients formore. static applications More specialized filters are described in the. following chapters These include smoothing filters that have. the lag removed Chapter 16 and a unique MESA Adaptive Mov. ing Average A Chapter 17 We introduce the Ehlers fil. ter one of the most flexible nonlinear filters available and one. that has the potential to be a true market model Chapter 18. The use of Fast Fourier Transforms FFT is often advocated. by those who ignore mathematical constraints as a way to meas. ure the market spectra Chapter 19 is dedicated to explaining. why traders should avoid FFTs in market analysis This chapter. alone will save the reader money by illustrating that FFTs are. inappropriate tools for trading Novel and unique concepts are. presented in thefollowing chapters The theoretically optimum. predictive filter is described and defined in terms of the phasor. This concept produces a moving average with no lag and. thus has an ability to generate trading signals that are very close. to each turning point in the market When filtering alone is. inadequate to isolate the signals fromthe noise unique displays. enable visual interpretation that is well outside the bandwidth. of electronic filters The procedure to plot the signal phasor is. provided forjust this purpose, Rocket Science for Traders concludes with approaches to.
make conventional indicators such as the RSI Stochastic and. CCI adaptive to current market conditions rather than using. static parameters Specific methods are given for these indica. tors Additionally the general concepts presented for these can. be extendedto apply to any existing static indicator. Many of the Qgital signal processing techniques described in. this book have beenknown for many years and used in thephys. ical sciences The Maximum Entropy Spectral Analysis MESA. algorithm was originally developed by geophysicists in their. exploration for oil The small amount of data from seismic. exploration demanded a solution using a short amount of data I. successfully adapted this approach and popularized it for the. measurement of market cycles More recently the use of digital. signal processinghas exploded in consumer electronics making. devices such as CDs and DVDs possible Today complete radio. receivers are constructed without the use of analog components. As we expandits use by introducing it to thefield of trading we. see that digital signal processing is an exciting new field perfect. for technically oriented traders It allows us to generalize and. expand the use of many traditional indicators as well as achieve. more precise computations My objective is to expose you to. these techniques to make your trading more profitable and more. pleasurable, Traders who have never studied mathematics or who have. let their math skills languish may find some of the concepts pre. sented to be foreign and difficult to grasp at the first reading. Since many of the concepts are interrelated a deeper under. standing may come from rereadingthis book severaltimes. JOHN F EHLERS,Santa Barbara California,ACKNOWLEDGMENTS. I would like toacknowledge the impact that Dr Carl Jelinek had. on my approach resulting from ourmany technical discussions. Dr Jelinek has enabled me tobetter understand how the dynam. ics of the probability density function of market prices pro. foundly affect our trading modes As a result I have attempted. to implement approaches that best capture profitable trading. conditions I would also like to acknowledge the contributions. of Donald H Kraska whose rigorousattention to detail kept me. honest in some of my more arm waving derivations Most of all. I would like to acknowledge the support of my customers who. made my research possible and for the encouragement of my. colleagues,This Page Intentionally Left Blank,Chapter 1 Introduction to the Science of Digital. Analysis Signal 1,Chapter 2 Market Modes 7,Chapter 3 Moving 17. Chapter 4 Momentum Functions 33,Variables5,Chapter Complex 41.
Chapter 6 Hilbert Transforms 51,Chapter 7 Measuring. PeriodsCycle 63,Chapter 8 Signal to Noise Ratio 77. Chapter 7 The Sinewave Indicator 75,Chapter 10 Instantaneous. The Trendline 107,Chapter 11 Identifying Market Modes 113. Chapter 12 Designing a Profitable Trading System 117. Chapter 13 Transform Arithmetic 131,Chapter 14 Finite Impulse Response Filters 143.
Chapter 15 Infinite,Impulse Response Filters 151,Chapter 16 Removing Lag 167. Study Guide to Accompany Fundamental AnalysislJack Schwager Study Guide to Accompany Technical AnalysislJack Schwager Technical AnalysislJack Schwager Technical Analysis of the Options MarketslRichard Hexton Technical Market IndicatorslRichard J Bauer Jr and Julie R Dahlquist The Day Trader s ManuallWilliam F Eng

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