Re: _SMA3: A steep roll-off lowpass filter

["Bob R" <bobrabcd@xxxxxxx>]

Thanks Alex and Bob.  I didn't do that great in signals systems and 
communications, it was the late 60's then.  Kinda wish I had paid more 
attention back then, but the aromas(patchouli of course) and long hair got 
in the way.  This feedback is helpful, insightful, useful.

BobRA


----- Original Message ----- 
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: <bobrabcd@xxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Sunday, June 13, 2004 3:59 PM
Subject: Re: _SMA3: A steep roll-off lowpass filter


> > Alex and Bob, would you guys provide a technical analysis and critique
> > of  this XMA function using the filter concepts in your previous posts?
> > How  does it compare to the functions you've posted?  Do you see anyway
> > to make  it "better" in terms of lag and overshoot?  How would you
> > improve it  according to your ways of thinking?
> >
> > Inputs: Price(NumericSeries),Leng(NumericSimple);
> > Vars:   EMA(0),n(leng),K(2/(n+1)),x((n-1)/2);
> >
> > EMA = K*(2*Price - Price[x])+(1-K)*EMA[1];
> >
> > XAverage_ZeroLag = EMA;
>
> OK, attached is the frequency response.  This lowpass filter suffers from
> a low-frequency gain at wavelengths longer than n.  Also, its
> high-frequency rejection is a lot less than a standard EMA (in fact, you
> can see the maximum attenuation points, those dips in the response, follow
> the EMA frequency response curve).  This lack of attenuation of high
> frequencies would explain the noise that Bob Fulks observed.
>
> I tried the same trick with this one that I tried with my _SMA3, namely
> cascading two or more filters so that the nulls in the response of one
> filter cancels out the lobes in another.  You can get a good fall-off in
> the response, resulting in a smoother output.  However, this magnifies the
> low frequency gain even further.
>
> This is an interesting concept -- use the n/2 momentum as a slope and
> smooth the projected value n/2 bars in the future.
>
> I tried using an exponential regression slope instead, and got a much
> steeper rolloff, only without any ripples -- and it still had a low
> frequency gain.
>
> -Alex
>
>