MESA & Fourier Analysis
Traditional Fourier techniques such as the fast Fourier transform identify
cycles with a high degree of certainty, but require very large data samples
MESA, by contrast, focuses on the identification of the maximum amount of
cyclic activity in a very short data sample. Whereas Fourier techniques work best
for identifying cycles whose wavelengths are a tiny fraction of the length of
the data samples, MESA can find a cycle in a sample only as long as the
wavelength itself. This sensitivity equips MESA uniquely to pick out market cycles as
they develop in fast-moving markets.
John F. Ehlers, a Ph.D. holder in electrical engineering and radar-jamming
scientist, is the pioneer and acknowledged authority in applying MESA for trading
purposes. His MESA end-of-day trading program was the first of its type. It
is with his cooperation and supervision that MESA studies have been incorporated
in Aspen Systems, in their first and only real-time implementation.
For a more complete exposition of the development, mathematics, and particular
characteristics of MESA, refer to Ehlers
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