Rocket Science for Traders: Digital Signal Processing Applications

Book Description

Predict the future more accurately in today's difficult trading times
The Holy Grail of trading is knowing what the markets will do next. Technical analysis is the art of predicting the market based on tested systems. Some systems work well when markets are "trending," and some work well when they are "cycling," going neither up nor down, but sideways. In Trading with Signal Analysis, noted technical analyst John Ehlers applies his engineering expertise to develop techniques that predict the future more accurately in these times that are otherwise so difficult to trade. Since cycles and trends exist in every time horizon, these methods are useful even in the strongest bull--or bear--market.
John F. Ehlers (Goleta, CA) speaks internationally on the subject of cycles in the market and has expanded the scope of his contributions to technical analysis through the application of scientific digital signal processing techniques.

Customer Reviews:

Either incomprehensible or you've outgrown it.......2007-06-22

Fine book for what it is, but this is just not the right technique for systematic trading because the models proposed are misspecified for the signal over the time series (as another reviewer pointed out, price time series do not conform to the conditions of electrical and telecommunications signals).

Still, many of the skills needed to isolate real signals and deploy real strategies are built through exercising with these methods, so all is not lost if you wade through this, deploy something, and come back with knowledge but little cash.

Who is the book not for: phynance-lite Excel-based users.

Who is the book for? Do you use Matlab or Mathematica or Maple? Do you know what an Active X link is for data feeds? Do you look at the tick data of the currency and swaps market and see gold? Are you laughing at me because these questions are inefficient baby-level stuff? (Hint: you've outgrown this book).

Just Great.......2005-08-02

I think this book is great even for non-math people. In fact, I am not good at math at all. I read it a couple of times and figured out what the author wanted to say.

This book is especially good for people who are interested in creating their own trading systems.

A Balanced Review.......2003-10-31

Whoever reads the reviews for this book will note the polarity: people either think it's wonderful or it's horrid. I'll try to give a more balanced review here.

* This book is for the mathematically/analytically inclined. If you don't consider yourself in this category, I would not suggest this book. At the VERY least you should have a solid background in trigonometry.

* This book is exactly what is says: Digital-Signal Processing (DSP) applied to stock trading. I myself am an Electrical Engineer who's day-job consists of about 90% DSP-work / 10% other tasks. For this reason, I believe I can fairly say that the DSP concepts presented are done so in a fairly clear and fairly accurate manner (this varies from time-to-time).

* Most of the concepts presented in Ehlers' book would be what I consider "traditional" DSP. There is a problem here (that is almost completely overlooked in the book): "Traditional" DSP is based on a series of assumptions that must be at least approximately fulfilled. Recent academic research has tended to show that stock-market "signals" tend NOT to fulfill these assumptions very well. In some ways, this puts a significant dent (in my view) in the theory used as the basis for the indicators derived.

* The attention to detail at times is very obtrusive to a reader with a keen eye and understanding of what is being described. For example: there is (what I consider to be) a glaring error in the MAMA filter that no one has ever pointed out and that is not corrected on his website. How has this escaped notice for so long? [Side note: be careful about his claim that MAMA's avoid whipsaws - they DON'T at all in ranging markets!]

* Two mechanical systems are described in detail in the book: the SineTrend Automatic System and the ZeroLag Intraday System. I have EXTENSIVELY tested both systems, exactly as described in the book, on a very-wide range of stocks, commodities, and currencies. These simulations were carried out using a test suite I had developed for my own use to simulate trading conditions as realistically as possible. This includes conservative, but realistic allowances for slippage, commissions ($15 round-turn), and signal reaction.

Ehlers results for the SineTrend Automatic System grab your attention in the book (greater than $100,000). However, no initial investment is listed in the book and one should be careful to note that these results are over a 15 year period. Assuming a $10000 initial investment (though this isn't specified in the book), this is a 17% annual return. Not bad, not great.

The REAL problem here is that a more realistic simulation shows that one is hard-pressed to show ANY profit on ANY type of stock/commodity/currency. I've tried the system (unaltered) on dozens of instruments, with a couple rather moderate successes and the rest losing money terribly, even with reasonable stop losses and money management.

* Almost (if not all) of Ehler's graphs in his book are from the same time series: specifically the US96H (March 1996 Treasury Bond contracts). I HAVE been able to reproduce all of the graphs in his book using the indicators: so there is no falsification in them, as implied in other reviews. However, the time period under consideration shows a series with nearly ideal characteristics for Ehlers systems, while almost all other series I've tested his indicators and systems on do not exhibit the same performance.

* MOST ALL of the information presented in his book is available for FREE download on his website as Word DOCs. There is also a lot of other papers he has written available on the site.

* Ehlers is doing what I think needs to be done in the trading industry: trying new techniques and methods. He has a good grasp of the electrical-engineering concepts and how to apply them to trading, but the results presented in his book are NOT indicative of TYPICAL results of the performance of his systems. The ideas and the theory behind them are, generally, good, though he is a bit prone in parts to handwaving and glossing-over of some obvious pitfalls (obvious, at least, to another electrical engineer).

* For the mathematically-inclined who enjoy working on their own ideas and own systems, this book could give you a lot of insight into technical trading and provide some good jumping-off points to developing systems that are TRULY profitable. I have yet to see (or develop) one that I would be willing to risk real money on and I would caution readers from thinking that either of the two systems presented will provide the type of profits described in the book.

To all others (probably the vast majority of those interested in this book!) I would say be very careful before spending your money on this. There is no reliably turn-key system provided in this book, even though there are two that are purported to be such.

Uh, what on earth is this?.......2003-10-26

I don't own this book, and I haven't read this book, so I could be way off. But based on the two pages I read using Amazon's new "read the page" feature, from a mathematical/scientific perspective I wouldn't touch this with a 200' pole (for the record: I have 3 graduate degrees in physics and mathematics, including a PhD, so my opinion of this guy's methodology should carry some weight). The way he explains the mathematics and science reads like something I'd expect in an essay from a (not too bright) College Sophomore: lots of handwaving and meaningless analogy, hoping that you don't know enough about the subject (and most of his audience doesn't) to distinguish valid argument from snake-oil.

An infomercial for MESA Software.......2003-05-10

This stuff may work, but you won't be able to prove it from the code in this book. It's broken. Since the same code was broken in his previous "MESA and Trading Cycles", my cynical nature tends to suspect that it wasn't intended to be workable at all. While you are watching his mathematical pea shuffling, you're supposed to get frustrated at being unable to duplicate his efforts and fork over more money for his disk. Or better still (for him anyway) purchase his very expensive trading signal service. Is the code on the disk broken? Caveat emptor. Does the trading signal service work? Caveat emptor.

The charts for claimed real example data carefully avoid showing you any dates lest you obtain that data and attempt to verify his work. And if you do find the corrections for his code on his website, you notice one of those corrections is broken also. So much for attention to detail for this guy. Is this someone to whom you want to trust your money? Ehlers appears to be a master shyster.

Book Description

In recent years financial conglomerates have been established throughout Europe. This horizontal diversification has attracted a great deal of attention in the banking and insurance sector, and has alarmed the supervisory authorities and the European Commission. Financial Conglomerates: New Rules for New Players? gives a broad, innovative survey of the following aspects: it analyzes different sets of definitions of financial conglomerates, groups, consolidation criteria, etc., testing the practical effects of these definitions on the basis of a detailed relational database; although the benefits of financial conglomerates are straightforward, it is clear that quite a number of potential risks cannot be ignored; moreover, the differences in regulation of the solvency requirements for banks, insurance companies and investment firms are analyzed in order to look for a possible approach for calculating the necessary level of solvency for financial conglomerates. Audience: Required reading for practitioners as well as academic researchers in both the financial and the insurance markets. Strategic as well as regulatory perspectives are relevant disciplines.

Book Description

The essays in this text deal with aspects of British legal learning. It traces the tradition of learning dating back to the Middle Ages and how the inns of court provided the equivalent of a legal university. The essays describe how before the middle of the 19th-century there was little formal provision of legal education in Britain and that law in the ancient universities was not intended to have practical value and entrance to the bar was not dependent upon written examination.

Book Description

The Harvest Story tells the epic tale of wheat threshing in turn-of-the-century North America. This book gathers into a coherent recitation over fifty volumes of material published in the Iron-Men Album Magazine from 1946 until the present. From this rich mine, the author has distilled a story of hard but honest work, of heartfelt cooperation, of triumph not unmarred by tragedy-a complex, fascinating story about America's past.

Book Description

The Biology of Civilisation looks at the complex interrelationships between human culture and the natural environment, covering the entire period from the beginning of agriculture to the present. Through this biohistorical survey, Boyden concludes that a major transformation of the world's current dominant culture to an ecologically sustainable and equitable society is necessary for the long-term survival of civilization, and suggests measures that can be taken right now to facilitate this transformation.

Book Description

This book presents a compilation of state-of-the art studies on gas and vapor transport processes in porous and fractured media. A broad set of models and processes is presented, including advection/diffusion, the Dusty Gas Model, enhanced vapor diffusion, phase change, coupled processes, solid/vapor sorption, and vapor-pressure lowering. Numerous applications are also presented that illustrate these processes and models in current problems facing the scientific community.

This book fills a gap in the general area of transport in porous and fractured media—an area that has historically been dominated by studies of liquid-phase flow and transport. This book identifies gas and vapor transport processes that may be important or dominant in various applications, and it exploits recent advances in computational modeling and experimental methods to present studies that distinguish the relative importance of various mechanisms of transport in complex media.

Gas Transport in Porous Media: The Dusty-Gas Model (Chemical Engineering Monographs)

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Gas Transport in Porous Media: The Dusty-Gas Model (Chemical Engineering Monographs)
Edward A. Mason , and A. P. Malinauskas
Manufacturer: Elsevier Science Ltd
ProductGroup: Book
Binding: Hardcover

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Book Description

The study of DNA is one of the most important areas of research in modern biochemistry and biology. It is an extremely complex field, and in recent years researchers have found that the application of nonlinear physics methods has led to significant increases in our understanding of the subject. This, the first book on the subject, examines both the experimental and theoretical methods which have been used to study the DNA molecule. Beginning with introductory chapters on DNA structure and dynamics, Nonlinear Physics of DNA goes on to discuss the more advanced recent work. This includes a comparison between linear and nonlinear approaches to the DNA molecule, a chapter devoted to the statistics of nonlinear excitations of DNA, and examples of the interpretation of experimental data on the dynamics of DNA in terms of nonlinear theory. Nonlinear Physics of DNA will prove essential reading for graduate students and researchers in biophysics and nonlinear physics as well as allowing biologists, biochemists and physicists to continue to develop nontraditional techniques of investigating the DNA molecule.

The Frenkel-Kontorova Model: Concepts, Methods, and Applications (Theoretical and Mathematical Physics)

Average customer rating:

Excellent overview !
The definitive reference on the subject

The Frenkel-Kontorova Model: Concepts, Methods, and Applications (Theoretical and Mathematical Physics)
O.M. Braun , and Y.S. Kivshar
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

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ASIN: 3540407715

Book Description

This book presents an overview of the basic concepts, methods and applications of nonlinear low-dimensional solid-state physics based on the Frenkel--Kontorova model and its generalizations. It allows a nonspecialist to acquire foundations in the interdisciplinary concepts and methods of both solid-state physics and nonlinear science. It covers many important topics such as the nonlinear dynamics of discrete systems, the dynamics of solitons and their interaction, commensurate and incommensurate systems, statistical mechanics of nonlinear systems, ratchets, and nonequilibrium dynamics of interacting many-body systems. Also treated are the principal nonlinear equations along with the properties of their localized solutions and methods for their analysis.

Customer Reviews:

Excellent overview !.......2004-04-20

In sciences, "simple" low-dimensional models are often called into play to understand and clarify fundamental processes involved in complicated physical phenomena. Universal models which can be applied to illustrate a variety of effects of different physical origin are rare and, therefore, they are of CRUCIAL importance.
Recently, with respect to this, Frenkel-Kontorova type models have attracted so much attention for their ability to describe a broad spectrum of phenomena of distinct physical origin as, for example, fundamental aspects in tribology and mass transport, Josephson transmission lines, DNA dynamics, charge-density waves, commensurable-incommensurable phase transitions and so on. It is possible to count almost 200 publications, in the last 5 years only, in the most relevant scientific journals related to Frenkel-Kontorova models.
Braun and Kivshar are undoubtedly internationally famous specialists in Solid State Physics and Nonlinear Physics of discrete dynamical systems, and their book represents certainly a comprehensive and exhaustive treatment (from fundamentals to recent and advanced developments) of the subject. Describing fundamental concepts and theoretical procedures of nonlinear dynamics, related numerical techniques and methods, down to possible experimental and technological applications based on this intriguing model and its generalizations, this book suits both the needs of students and beginners as well as the requests of most experienced researchers wishing to be acquainted with new and complementary aspects in this field. The table of contents, together with an up to date list of references, shows at first glance the comprehensiveness of the treatment.
Personally, as an active researcher in this field, I would highly recommend the book to both graduate students and any much more experienced scientist who is working or just interested in nonlinear dynamics and condensed matter modeling.

The definitive reference on the subject.......2004-04-13

As an active researcher on this field, I find this book will become THE reference. The authors, with over 20 years of experience themselves, take you from the basics to the current hot topics. Their coverage is certainly exhaustive, with an up to date list of 876 references. All aspects of the Frenkel-Kontorova/sine-Gordon model are discussed, from statistical mechanics to the effect of forces through the thermal version. The mathematical details are provided but also commented upon in extent for the reader to grasp their implications. One point I particularly liked is that the connection between Frenkel-Kontorova and sine-Gordon is always kept in mind along the book, a point that had been an obscure one for me when touching upon different aspects of the problem. The chapter on applications helps make the link between the different disguises of the model. Finally, I do believe the book will be useful for a more general audience interested in nonlinear problems beyond those discussed, as most of the techniques and viewpoints apply in general. All in all, a must for researchers in nonlinear science and condensed matter models, and an excellent way to introduce oneself to this subject for anybody beginning to work on it, as no background is assumed.

Average customer rating:

NONLINEAR PHYSICS OF DNA
L.V. YAKUSHEVICH
Manufacturer: JOHN WILEY AND SONS LTD
ProductGroup: Book
Binding: Paperback
ASIN: B000N5ALNS

Average customer rating:

Nonlinear Physics of DNA
L.V. YAKUSHEVICH
Manufacturer: JOHN WILEY AND SONS LTD
ProductGroup: Book
Binding: Paperback
ASIN: B000N58144

From the Publisher

Our parody of When I'm an Old Woman, I Shall Wear Purple shares the griping, cynicism, and complete disregard for societal advancements embodied by men who feel they've lived long enough to earn the right to do anything any way they darn well please. A very funny birthday, holiday, or Father's Day gift for any man over forty!

Customer Reviews:

When I am old.... I reserve the right to be grumpy........2002-08-27

A tongue in cheek, much shortened version of "When I am an Old Woman, I Shall Wear Purple". While amusing, it is no classic. It is good for a chuckle or two and one or two readings, but that is about all.

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