Digital Filters (basic explanation) - page 2
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There are four different type of digital filters:
- Low Pass Filter (FATL/SATL, RFTL/RSTL, KGLP);
- High Pass Filter (KGHP);
- Band Pass Filter (RBCI, KGBP);
- Band Reject (stop) Filter (KGBS).
We may prefer to use digital filters which already have in our computer or digital filters from this forum (see download area)? Yes, we may do it. At least we know everything about the parameters of the indicators and we are able to use it in the EA developing.
The pictures attached show parameters of Low Pass Filters. The axis X of the picture 1 is a period, and on the picture 2 is a frequency.
Pass band cutoff frequency of LPF, P1 (bars):
- the cutoff expressed in bars. All swings of the price of the period more than P1 will be suppressed. In classical MA it corresponds to the moving average period.
Stop band frequency, D1 (bars):
- transient period. The recommended value for FATL is 2 days. For slow filters such SATL the difference between D1 and P1 need to be more significant.
Ripples in the pass band, R (Db):
- That value needs to be set up as low as possible in order to decrease distortions.
Stop Band attenuation, A1 (-dB):
- That value defines attenuation in stop band region. The recommended value is - 40dB that corresponds to 100 times attenuation.
Delay, Bar:
- That value defines a delay of the digital filter expressed in bars, for RFTL and RSTL to be more smooth and predictable.
For the FATL or KGLP the recommended parameters are P1=10; D1=8; R=0.0864, A1=-40; and Delay=0;
or 13; 10; 0.06; -40; 0;
or 25; 13; 0.001; -60; 0.
For the SATL/KGLP:
79; 35; 0.039; -40; 0; or
49; 25; 0.024; -40; 0; or
50; 26; 0.001; -60; 0.
For RFTL and RSTL the recommended parameters are the same with KGLP but delay should be above zero integarl number.
But we may use our own settings according to the pairs, timeframe etc.
What are KGLP, KGHP, KGBP and KGPS?
What are the differences between FATL, SATL, KGLP etc?
All the filters are utilized Park Mc Allen algorithm of synthesis of digital filters by two methods:
- some filters are based on article of Jake Janovetz, 1995 (http://www.dsptutor.freeuk.com/remez/RemezFIRFilterDesign.html
- some of them are based on digital signal processing library MtxVec 1.51, having algorithm, described in: Discrete-time signal processing. Openheim and Schafer, Prentice-Hall, 1989 and Theory and application of digital signal processing, Lawrence R. Rabiner and Bernand Gold. Prentice-Hall, 1975.
In other words, the Low Pass Filter (FATL/SATL, RFTL/RSTL, KGLP) is gating the fluctuation with the frequency less than specified.
High Pass Filter (KGHP) is gating the fluctuation with the frequency above (higher than) specified.
Band Pass Filter (RBCI, KGBP) is gating the fluctuation with specified band.
Band Reject Filter (KGPS) is gating the fluctuation except specified band.
It was a story about the army and navy, Royal Military Academy and russian people from Siberia.
Next time we will go into practics: we will try to create the figital filter indicators for MT4 and MT3, will compare the indicators with each other and will try to use those indicators.
Great
Thanks
As you know in download area we posted software to generate any digital filter for metatrader. But if you prefer to use metatrader only to do everything we have the special indicator for that case which you can use instead of this software.
To use this indicator you must copy DF.dll file to \experts\libraries\ folder and make sure availability of Bdsp.dll, lapack.dll, mkl_support.dll in C:\Windows\System32\ folder or or in \experts\libraries\. Check "Allow DLL import" and "Confirm DLL function's call" in Options->Expert Advisors.
Check download area
I was inhibited by the selecting the parameters for digital filters, it means P1 etc. We are able to create the indicator but we need to select the patameters.
So, need a break.
Does anybody know?
Ok. Now I am in contact with the author of the Generator of Digital Filter's indicators software.
He confirmed that it is very difficult to select the parameters for the difital indicators because there are different parameters for the different pairs, timeframes, time of the month and so on. The only one way to select the parameters for creating the indicators is visual way during the spectral analysis. There is some option in the software to do it.
But visually! Difficult!
He asked for the mathematician who may help him to create execution algorithm for the calculation of the parameters using the spectral charts.
He has everything. He need just a consultation. Can anybody help?
STLM Histo,
Can anyone guide me as to how to use the indicator generator package to fine tune the above indicator ? It has 4 inputs and the generator won't even let me put 2 in without coming up with an error message ?
I have managed to adjust fatl and satl and create indicators but that's all. No spectrum analysis yet. That's way above me for now.
Thanks
Chris