|
PureBytes Links
Trading Reference Links
|
--- In amibroker@xxxxxxxxxxxxxxx, "Corey Saxe" <res1wgwl@xxxx> wrote:
> From Stocks & Commodities V. 18:7 (July 2000) (pp. 20-29): Optimal
Detrending by John F. Ehlers
>
> modified optimum elliptic filter in TradeStation EasyLanguage:
>
> Smooth = 0.13785*(2*Price - Price[1]) + 0.0007*(2*Price[1] -
>
> Price[2]) + 0.13785*(2*Price[2] -Price[3]) + 1.2103*Smooth[1] -
>
> 0.4867*Smooth[2]
>
> Or, algebraically:
>
> Smooth = 0.13785 (2 x Price - Price[t-1]) + 0.0007 (2 x Price[t-1] -
>
> Price[t-2]) + 0.13785 (2 x Price[t-2] - Price[t-3]) + 1.2103
>
> (Smooth[t-1] - 0.4867 x Smooth[t-2])
>
> where Price=(High+Low)/2
>
>
>
> -CS
>
> ----- Original Message -----
>
> From: raven4ns
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, October 23, 2004 7:58 AM
> Subject: [amibroker] re:Ehlers Modified Optimal Elliptal filter
>
>
>
> Hello,
> Does anyone know where I might find this filter? I was looking at
> the new Jurik MA and this certainly looked like a reasonable
> substitute. Thank you.
>
> Tim
I'm not convinced this filter is all that "optimal". According to
Ehlers:
"... I have been curious about how to design an optimum smoothing
filter. I set one criterion to be that the smoother could have no
more than a one bar lag. An elliptic filter provides the maximum
amount of smoothing under the constraint of a given lag. So, using
MATLAB, I designed an elliptic filter ..."
The problem here is that sometimes you *want* significant lag. Here's
the sitch: most filters affect both signal and noise. Filtering noise
is good: that's what you want to get rid of. But filtering signal is
bad: that's where lag and attenuation comes from. So in areas of low
signal-to-noise ratio, you want a lot of filtering, and in areas of
high SNR, you want little or no filtering. The only way to accomplish
this for non-stationary, non-linear time series like financial data is
with an adaptive moving average. Most AMAs are basically variable
EMAs, but Jurik denies this is what his AMA is. Maybe so. For the rest
of us "home-brewers", the key is to find the best data-adaptive
smoothing factor possible.
Good trading,
kut2k2
------------------------ Yahoo! Groups Sponsor --------------------~-->
Make a clean sweep of pop-up ads. Yahoo! Companion Toolbar.
Now with Pop-Up Blocker. Get it for free!
http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|