Hey I was wondering if anyone has played around with using a (fast) fourier transform (FTT) to try and gauge the movement / volatility of the SPI future (for example) on an on-going basis.
I'm using the R statistical package to play around a bit (http://ubuntuforums.org/showthread.php?t=932892), got some stuff going to try and identify slower swings (trends -> microtrends) as opposed to high-frequency smaller movements (volatile non-trending) with some mixed success.
I'm thinking of this as a way of identifying ranges, possibly for a breakout strategy.
IF someone has thoughts on this, would be cool to perhaps share some ideas ...
Happy trading (in a volatile market!)
fft newbie :-)