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Hello I ran across this Tradestation webpage
https://www.tradestation.com/Discussions/Topic.aspx?
Topic_ID=31076&PAGE=1
where it discusses a 4 pole Gaussian IIR Filter developed by Ehler
that can help smooth data with less lag.
Several questions:
Is there an indicator like this for Metastock already that's widely
available? If so where can I find it?
The JMA seems to be the best responsive adaptive moving average I'm
aware of that's available and for awhile it seemed that the T3 was
the best free one out there as suggested here
http://www.jurikres.com/faq/faq_ama.htm#betterthan
but that looks dated.
I've seen a growing number of other filtered MAs like one based on
Laguerre and recently the Hull AMA and then this Gaussian IIR.
What's the current state of things in this development niche? Is
there a good article somewhere that's easily accessible that
discusses all the new alternatives?
In any event I couldn't find one that's Metastock based so I decided
to try my hand at converting the following EasyLanguage formula that
was given in the above Tradestation link.
EasyLanguage formula:
{Gaussian Filter}
{Ported to EasyLanguage by: atavachron}
{Original author: DrKoch}
Inputs: Price(NumericSeries), Period(NumericSimple), poles
(NumericSimple);
variables: aa(0), b(0), w(0), x(0), y(0), y1(0), y2(0), y3(0), y4(0),
a_1(0), a_12(0), a_13(0), a_14(0), a2(0), a3(0), a4(0), Pi
(3.141592654),
sqrtOf2(1.414213562);
{If number of poles is < 0 or > 4 then return 0.}
{Number of filter poles must be between 1 and 4, inclusive}
If (poles >= 1) and (poles <= 4) then
begin
{initialization - performed only for first bar}
if CurrentBar = 1 then
begin
w = 2 * Pi / Period; {omega}
w = 180 * w / Pi; {in degrees}
b = (1 - cosine(w)) / (power(sqrtOf2, 2.0/poles) - 1.0);
aa = -b + squareroot(b*b + 2*b);
a_1 = 1.0 - aa;
a_12 = a_1 * a_1;
a_13 = a_1 * a_1 * a_1;
a_14 = a_12 * a_12;
a2 = aa * aa;
a3 = aa * aa * aa;
a4 = a2 * a2;
y1 = Price;
y2 = y1;
y3 = y2;
y4 = y3;
end;
{Calculate your indicator value here}
x = Price;
if (poles = 1) then
y = aa * x + a_1 * y1
else if (poles = 2) then
y = a2 * x + 2 * a_1 * y1 - a_12 * y2
else if (poles = 3) then
y = a3 * x + 3 * a_1 * y1 - 3 * a_12 * y2 + a_13 * y3
else if (poles = 4) then
y = a4 * x + 4 * a_1 * y1 - 6 * a_12 * y2 + 4 * a_13 * y3 - a_14 *
y4;
y4 = y3; {delayed by four bars}
y3 = y2; {delayed by three bars}
y2 = y1; {delayed by two bars}
y1 = y; {delayed by one bar}
Gauss = y;
end
else
Gauss = 0.0;
____________________________________________________________
Here's my attempt at converting the above:
____________________________________________________________
Period:=Input("Period", 0, 50, 10);
Poles:=Input("Poles", 1, 4, 1);
x:=P;
wv:=2 * 3.141592654 / Period;
ww:=180 * wv / 3.141592654;
b:= (1 - Cos(ww)) / (Power(1.414213562, 2.0/poles) - 1.0);
aa:= -b + Sqrt(b*b + 2*b);
a1:= 1.0 - aa;
a12:= a1 * a1;
a13:= a1 * a1 * a1;
a14:= a12 * a12;
a2:= aa * aa;
a3:= aa * aa * aa;
a4:= a2 * a2;
y1:= aa * x + a1 * If(Cum(1)<5, P, PREV);
y2:= a2 * x + 2 * a1 * y1 - a12 * If(Cum(1)<5, P, PREV);
y3:=a3 * x + 3 * a1 * y1 - 3 * a12 * y2 + a13 * If(Cum(1)<5, P,
PREV);
y4:= a4 * x + 4 * a1 * y1 - 6 * a12 * y2 + 4 * a13 * y3 - a14 * If
(Cum(1)<5, P, PREV);
y:=
If(poles=1, aa * x + a1 * y1,
If(poles=2, a2 * x + 2 * a1 * y1 - a12 * y2,
If(poles=3, a3 * x + 3 * a1 * y1 - 3 * a12 * y2 + a13 * y3,
If(poles=4, a4 * x + 4 * a1 * y1 - 6 * a12 * y2 + 4 * a13 * y3 - a14
* y4, 0)
)
)
);
y
_______________________________________________________
I think I'm doing something wrong since I read that if it is run as
a 1 pole indicator it should be the same as a regular EMA, but
that's not the result I'm getting. I am NOT a programmer and I am
not versed in EasyLanguage so I was guessing most of the time. For
example I'm not sure why there seem to be 2 w expressions in the
Easylanguage formula. Could someone look this over and suggest
improvements?
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