This is a trading item or a component that was created using QuantShare by one of our members.
This item can be downloaded and used by QuantShare Trading Software.
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Fast Fourier Transform - Plots the Amplitude of the different Bins
Here is an example of how to use fast Fourier transform in QuantShare.
This function calculates the amplitude of the different FFT bins and plots each one on a chart using each time a different color.
How it works:
- The function "FFtAmpPlot" gets a time series (For example, the close time series) and a period
- The fast Fourier transform is applied to the time series
- It returns (N) FFT complex bins (N = period length / 2) where each bin is a complex number (composed of a real and imaginary parts)
- The function ignores the first two values returned by the fast Fourier transform function (This is because the first bin represents DC component)
- It loops through each trading bar
- For each trading bar it loops through bins and calculates the amplitude of each bin
- It finally plots each bin's amplitude on the chart
Note that in QuantShare and unlike many other software programs, the fast Fourier transform is calculated for each trading bar. This allows you to backtest any indicator or composite that is based on the fast Fourier transform.
Example of usage:
a = FFtAmpPlot(close, 16); // The period must be a power of 2
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.