Previous researchers using MESA constrained themselves to using MESA to find only the cycle with the highest amplitude and called that cycle the dominant cycle. In this system, we will find and use the frequencies with the N (N is a strategy input selectable from 1 to 20) highest amplitudes to create a noise filtered signal curve that we will follow to create our strategy buy and sell signals. The Goertzel Discrete Fourier Transform (nCycleGZ) super fast DLL finds the N cycles(frequencies) with the highest amplitudes at each price bar, and creates a x bar ahead(x is user selectable) noise filtered projected momentum curve. This process gives a more robust noise filtered signal than a single frequency (dominant cycle) procedure. You are no longer constrained to using only a single frequency. The nCycleGZ algorithm is faster and superior to MESA in finding cycles in noisy price series.

The Adaptive N Cycle Goertzel-DFT System.(See working paper entitled "The Adaptive 10 Cycle Goertzel-DFT System" on articles page)
The nature of intraday price movements is constantly changing due to current economic surprises, events and trader sentiment. Also, the time of year changes the nature of intraday markets, such as the seasons, holidays, vacation time, etc. As such, the periods or frequencies found on intraday prices three months ago may no longer be the same as the frequencies found on today's intraday data. We expect the frequencies found on intraday data to vary over time.

For The Adaptive N Cycle Goertzel strategy we create an indicator that walks forward one bar at a time. The strategy will take a fixed number, M, of closing prices and use the Goertzel Algorithm(GA) to find the N frequencies with the highest amplitudes. Using those N frequencies, amplitudes and phases, we will construct a new price that forecasts the price x bars ahead. We will save this x next bar forecast value, or forecast point. Next, we move the M closing prices forward one bar adding the next bar and dropping the last bar so that we have exactly M closing prices again. With this new M closing prices window, we compute the next bar forecast value from the N frequencies found by the GA and save it. We keep marching the M closing price window forward one bar at a time, calculate and save the new forecast point until we reach the end of our data. We then connect all the generated forecast points to produce a curve that creates the N cycle next bar forecast as the N frequencies used to create the next bar forecast change over time. Thus, this curve adapts to the closing price's changing frequencies and projects x bars ahead so that it's lag is minimized when things change.

The nCycleGZ system is orientated to short term trading in all bar ranges (1 min, 5min, etc., daily) and with any tradeable price series. The Input parameters to the system and indicator are changeable and optimizable so that the user can develop his own parameter set on his price series and time frame of interest. Although the nCycleGZ system gives results for the parameters that the E-Mini future was tested on, the user can easily use the system on any future or stock or on any time frame.

For NeuroShell Trader/DayTrader Pro, the Trading Strategies and Indicators are directly imported into NeuroShell via a special setup exe file and are fully disclosed in the Manual, Indicator wizard "MA_nCycleGZ" category and in the Trading Strategy Wizard "MA_nCycleGZ" directory. The C++ DLL code is not disclosed. The Input parameters to the strategies and indicators are changeable and optimizable so that the user can develop his own parameter set on his price series and time frame of interest. Although the strategy results will give parameters for the intraday or daily futures the strategy was tested on, the user can easily use this system on any tradeable or on any time frame.

The accompanying manual consists of:

• How To Setup A New chart With Data Series, Indicator & Trading Strategy.
• A complete description of the N cycle Goertzel Indicator & Strategy Input Parameters
• The N cycle Goertzel Strategy Applied to E-Mini (ES 5 min bars)
• The Adaptive n Cycle Goertzel DFT Math and Derivation.
• A Summary Table of All Strategy and Indicator Names

For further information please contact: