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Peter,
The recursive filters use the "echo" effect, ie the impact of the
value some bars ago, together with the most recent value.
It is from the relation
Yn = A Xn + (1 + B) Yn-D
with A in [0,1] and B in [-1,0] and D the delay.
For the first attempt, D=2, when the Yn-D coefficien becomes
important, the plotted line seems unstable.
See for example
n=20;
output1[ 0 ] = Close[ 0 ];output1[ 1 ] = Close[ 1 ];
f = 2/(n+1);
for(k=0;k<1;k=k+0.2)
{
for( i = 2; i < BarCount; i++ )
{
output1[ i ] = f * Close[ i ] + k*(1 - f) * output1[ i - 1 ]+(1-k)*(1-
f)*output1[i-2];
}
Plot(Output1,"Echo("+WriteVal(k,1.1)+")",1,1);
}
Plot(EMA(C,n),"EMA",5,8);
For some ref, you may see for example
http://www.iua.upf.es/~sergi/FMOL/SyntEngine.htm
Recursive Comb Filter
It would be just a matter of equations to apply Maria Callas great
glissandis to IBM study.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "bluesinvestor"
<bluesinvestor@xxxx> wrote:
> Dimitris,
>
> Are you sure you do not want this:
>
> output2[ i ] = f * Close[ i ] + (1 - f) * output2[ i - 1 ]; // you
had
> output2[ i - 2]
>
> You are multiplying times a bar 2 days ago in the current formula.
>
> Regards,
> Peter
>
> -----Original Message-----
> From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> Sent: Thursday, July 31, 2003 5:41 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Fw: Graphs
>
> Ooops, the attachement is lost !!
> ----- Original Message -----
> From: Dimitris Tsokakis <mailto:tsokakis@x...>
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, July 31, 2003 12:36 PM
> Subject: Graphs
>
> I noticed some strange effect moving the graphs one bar forward.
> The red curve is not the same, especially on the left side of the
graph.
> Do we have here an undesirable resonance effect ?
> How could I avoid this ?
> Dimitris Tsokakis
>
> I used the following code to compare EMA with its "Echo"
>
> n=20;
> output1[ 0 ] = Close[ 0 ];output1[ 1 ] = Close[ 1 ];
> output2[ 0 ] = Close[ 0 ];output2[ 1 ] = Close[ 1 ];
> f = 2/(n+1);
> for( i = 2; i < BarCount; i++ )
> {
> output1[ i ] = f * Close[ i ] + (1 - f) * output1[ i - 1 ];
> output2[ i ] = f * Close[ i ] + (1 - f) * output2[ i - 2 ];
> }
> Plot(Output1,"EMA",1,1);
> Plot(Output2,"ECHO EMA",4,1);
>
>
>
>
>
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