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> From: Gary Fritz
> Sent: Thursday, January 08, 2004 10:35 AM
[...]
>
> BTW I should have said the xavg-xavg signal was most similar to
> Chris's summation(C-C[1]) signal. It still has some trend
> component, just like his signal did. Running it through LRS just
> detrends it further. And in fact LRS acts as a bandpass filter,
> removing both noise AND trend. LRS actually does a better job of
> filtering out the trend component than the highpass xaverage.
> But I still think LRS(xavg-xavg) does the best job of extracting
> the pure cycle component.
For this application (finding the dominant cycle in the range 5...50, say),
I would question the use of a bypass filter of (15,20). This will chop out
a lot of signal at the Len=5 and len=50 time periods. And further detrending
seems unecessary.
As you note, LinRegSlope() amounts to an improved versrion of Summation(),
because
it will tend to elimnate noise. I'd think the following is likely more
adequate and accurate for the purpose of determining dominate cycle:
LRS = LinRegSlope(Price - Xaverage(Price, 50), 5);
Here, we assume 5 is the min. cycle of interest and 50 is the max.
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