Out of sporting interest, I engaged in adaptive quote filtering - page 6
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The Extrapolator codebase uses(seemingly) Burg's method, without filtering in the usual sense of the word.
https://www.mql5.com/ru/code/8608
..., refreshing my memory a little bit about what we went through on DSP. And I got this (let me tell you right away, there are no redraws):
The question to those who were closely involved in this subject: is it (graph) good or not?
The chart is good, but it is very difficult to use it effectively! In my experience, in order to trade on such a filter, you need to increase the smoothing period, otherwise the TS will not have time to reopen. Think about it, we don't use zero bar in trading, we analyze 2 more bars, spread, plus time for TS to respond, so, often, will be a loss, though it looks like a beautiful picture.
For example, I tried to make TS by my filter, as a result profitability is still low, although the picture is not re-drawn and lag is not big (red line).
And I really liked the alsu curve.
It's a pity he doesn't put it out there.
Жаль, что не выкладывает.
Well, I've described the principle. Do you have any idea how to use it?
Angela, your chart is more lagged... and it's not flat. The fluctuations aren't suppressed.
У вас есть идеи как использовать?
I think I have an idea myself with reverse analysis...
Gentlemen, why are you getting so worked up? The man has got a good filter. It quickly reacts to large spikes and smoothes flops well. I made something similar once in my spare time.
But how to use it? Does it have any advantages for Juriks? I really liked my adaptive filter at first. Plus, as compared to Djuric, it's more smooth on the fluxes.
The filter of the author of this thread seems to have the same effect. I haven't found a use for it. Not yet. Didn't play with it for a long time, though.
In general, it is not a problem to filter. But what for?
By the way, about Burg's method and filters, it was discussed here https://www.forex-tsd.com/digital-filters/300-trading-strategies-based-digital-filters-50.html.
The code that was suggested there for calculation of spectrum by Bourg's method:
R-MESA.mq4 - put it in the library;
R-MESA_Instant_Spectrum.mq4 - put to indicators
In principle, the code works
About using this indicator:
You can make an EA that opens a buy when the slope of the line is upwards and reaches >=X degrees and closes orders on a reverse slope of <X, and vice versa at Y respectively.
Angela, and your chart is lagging harder... and it's not flat - the fluctuations are not suppressed.
I actually showed it as an example that I've been experimenting with, and it didn't do any good, and I explained it in my post.
It's not correct to compare filters that work for different symbols, timeframes and market phases. If you want to compare them, I've purposely created two runs with slightly different parameters for your schedule. Perhaps I got better results but I do not have time or wish to experiment with setting parameters of the adaptive filter. I do not work with H1 and the indicator is very heavy for a tester, it takes more than 4 hours to calculate the picture size on all ticks. As you can see from the drawings, yours is better on some phases, mine is better on others.
And next to yours, for easy comparison.
Gentlemen, why are you getting so worked up? The man has got a good filter. It reacts quickly to large spikes and smoothes out flops quite well. Some time ago I made something very similar.
But how can I use it?
That's the thing, I can get nice-looking pictures with almost no lag but they are not very effective in practice, as I stated in my post above. If the average statistical number of bars between reversals is less than six then the system will not have time to reopen, I struggled with it for a long time and did not get anything good using only filter signals.
As an example I tried to use takei, i.e. opening by adaptive filter and closing by takei, the result was encouraging at once, but it was the first time I used them and I didn't figure them out yet.