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>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?
Here is a bit of an improvement:
---
Inputs: Price(NumericSeries),Leng(NumericSimple);
Vars: EMA(0), n(leng), K(2/(n+1)), x((n-1)/2), y(0), m(Ceiling(0.3*x+1)), z(0);
z = Price;
y = 0.5 * (z + z[1]);
EMA = K * (y + (y - y[m]) * x/m) + (1 - K) * EMA[1];
XAverage_ZeroLag = EMA;
---
y is the two-bar average of price. This improves the high-frequency cut-off some and assures zero response at infinite frequency.
The shortening the lookback period "m", to about 30% what you had improves the transient response some.
The response on the Jurik test pattern (red curve) shows some overshoot and initial lag but the lag goes to one-half bar (the lag of the two-bar pre-filter) over time. The noise is gone because of the two-bar prefilter which has a null response at that frequency - not quite fair...) (The blue curve is one of my IIR filters for calibration.)
Bob Fulks
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