TRADING TECHNIQUES
Using The Endpoint Fast Fourier Transform
Trading The E-Mini
by Dennis Meyers, Ph.D.
Here's a technique you can use to trade the e-mini futures intraday.
In my April 1999 article, "The Discrete
Fourier Transform Illusion," I demonstrated the misuses of the mathematical
technique called the Fourier transform as applied to the Standard &
Poor's 500. In that article I discussed how fitting the Fourier transform
to the S&P 500 index data series produced a perfect curve-fit on past
data, giving the illusion that this technique would predict the major turning
points of the S&P 500. However, when the Fourier transform was examined
on a day-by-day walk-forward basis, this seemingly wondrous predictive
capability disappeared.
In the follow-up article, "The Endpoint Fast Fourier Transform System,"
I discussed using the fast Fourier transform (FFT) in a technique called
the endpoint fast Fourier transform (EPFFT) to trade daily bars
of the S&P 500 futures. This time, I will discuss how to use the EPFFT
technique on a walk-forward basis to trade one-minute bars of the e-mini
futures.
...Continued in the January 2003 issue of Technical Analysis of STOCKS
& COMMODITIES
Excerpted from an article originally published in the January 2003
issue of Technical Analysis of STOCKS & COMMODITIES magazine. All rights
reserved. © Copyright 2002, Technical Analysis, Inc.
