Big Mike's Trading Blog

In another example of mathematical analysis way over my head,  a group of forum participants have an ongoing discussion about Wavelets in algorithmic trading.  One BMT Forum Member "sefstrat" has donated fully functional wavelet code for NinjaTrader 7.



This wavelet indicator uses a linear undecimated Haar transform implemented via lifting. This is a must have tool for trading algorithms...


sefstrat, which is absolute brilliant trader, provided the above screen shots and introduction analysis for his indicator.  He also has provided the forum with other brilliant indicators like his Particle Oscillator Indicator for NinjaTrader 7, and he also is an advanced Matlab / NT7 user.  He has the following to say about understanding wavelets:

"I would still encourage any who are interested in wavelets to read up on the theory behind them and how to construct other wavelet transforms via lifting. The more you understand wavelets the more useful they will be for you. A good place to start learning about more advanced techniques would be to research nonlinear transforms commonly used for 'edge detection'." -- sefstrat



Check out the trading forum for more.

Mike