Andras Schmelczer
b554e92e9f
Reviewed-on: https://home.schmelczer.dev/git/git/andras/schmelczer-dev/pulls/75
1.6 KiB
| title | description | date | projectPeriod | thumbnail | tags | role | stack | outcome | audience | links | |||||||||||
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| Predicting EUR/USD With Hanning Windows | A weekend frequency-domain experiment that did a passable job on EUR/USD. I would not have trusted it with my money, and I didn't. | 2026-05-03 | Autumn 2019 |
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Experiment author |
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A prediction server, an MQL4 trading client, and a clearer view of how far my edge wasn't | technical |
In the autumn of 2019 I was an undergrad with a few weekends free and the quiet conviction that I could find a small edge on EUR/USD. The screenshots were flattering: the prediction (blue) hugged the actual rate (green) in a way that looked like skill. A linear regression in the frequency domain, dressed up. I did not trade real money with it, and that restraint is the only thing about the project that aged well.
The pipeline:
- Smooth the input series.
- Differentiate.
- Short-time Fourier transform with overlapped, Hanning-windowed frames.
- Extrapolate the frequency-domain coefficients.
- Invert everything back to a predicted price series.
A Python server (NumPy, SciPy, Flask) ran the model. An MQL4 client on a broker terminal called the server and would have placed trades if I'd dared.
What I actually learned: even a naive model can show a sometimes-profitable backtest, and that's the trap. The real game is built by people with co-located servers, microsecond ticks, and millions in infrastructure. This project taught me how far my edge wasn't.