|
PureBytes Links
Trading Reference Links
|
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
Attachment:
BobR.gif
Attachment:
Description: "Description: GIF image"
|