Out of sporting interest, I engaged in adaptive quote filtering - page 15
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Well, I didn't actually call Chebyshev names. I understand the great scientist and all that. But I do not see the point of filtering. Any, remember, any filtering carries a lag that drains the deposit. So any filters, this is the past age. Except Noxa, but Noxa is not a filter, but frequency shit, which at certain moments carries a predictive sense, especially if you find cointegration on a certain area.... Don't want to put a non-rochel, so would try it again..... It makes me want to remember the old :-)
Look, you have got the numerator and denominator, i.e. you can write the transfer characteristic in the form
H(z) = P(z^-1)/Q(z^-1),
where P and Q are your numerator and denominator as polynomials of z^-1 (z minus first power). The transfer characteristic is the output divided by the input, i.e. in z-form
Y(z)/X(z) = P(z^-1)/Q(z^-1),
where from
Y(z)*Q(z^-1) = X(z)*P(z^-1).
Now recall that z^-1 is nothing but a delay operator, i.e. multiplying by z^(-n) in the z-domain corresponds to a delay of n samples in the time domain, e.g. Y(z)*z^(-3) corresponds to y(t-3). Thus,
a0*y(t) + a1*y(t-1) + a2*y(t-2) + ... = b0*x(t) + b1*x(t-1) + b2*x(t-2) + ... ,
where ai, bi are coefficients of the former denominator and numerator, respectively. Actually, all you need to do is to express y(t) - here you have the formula for calculating your indicator.
By the way, it's a bit strange "to have an idea about digital filtering" and not be able to do it...
In case of digital filters adaptivity usually means an ability to automatically adjust filter coefficients depending on certain characteristics of input data. In a Kalman filter, for example, coefficients are computed at each step based on the tracking error and a certain formulation of an optimality condition.
PS the topic came up unexpectedly...
It's a terrible misconception.
You can make a filter that runs ahead of the event. Only it's not really a filter, but it will work like one.
You have to know how to use filters. In any case, you should use more than one. Better a set of filters with full range overlap (spectral analysis) to get the full picture.
Strictly speaking, no (although I couldn't agree more, in the vast majority of cases it is a lie)).
When one speaks of lag, one most often refers to a linear model. For linear models, non-zero lag is a consequence of the principle of causality; in other words, it is impossible to implement a linear system that satisfies both the principle of causality and the zero lag requirement.
For non-linear (e.g. adaptive) models there is no such constraint. There the delay can be both zero (ideal tracking properties) and negative (predictive properties). A prerequisite for this is that the model is adequate to the real system.
And noxa is an addon for the nerf. It's hard to adjust. But for sure it does not overdraw and gives signals wherever you want. But if you can set it up :-)
I would like to play it again, but I don't want to install it :-(
"A filter running ahead of the locomotive?" - Regression. Particularly in this case based on Fourier series. But unfortunately they are not applicable to forex. The market has never (not approximately, but absolutely) repeated itself. And Fourier series is applicable only to periodic processes. If I am wrong, give me some examples.
Answered the same:
The derivative of sine is cosine. Runs ahead 90 degrees. The derivative is essentially a high-pass filter. And nothing is redrawn.
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It's not all so straightforward about PF either. PF can and should be used. Just not in the way one is usually used to.
I even posted a video of filter where lines of a spectrum were drawn which was calculated on the basis of PF. Nothing was repeated there.
Lagging... Makes sense. I'm currently working on a non-standard filter. I'll present the results afterwards. Now let's go back to physics. What happens before the body stops? The derivative of the equation of motion, i.e. the instantaneous velocity, changes. There is a lag, but if you look at the indicator and also correlate the changes in price with the indicator velocity chart, something useful can be extracted, so don't be so critical)
Physics doesn't work. There is a currency market here. Price has no inertia, as tranches (selling/buying in several stages) are not considered in forex...
The currency market is here. The price depends on what is currently bought or sold. Before they sell - the price goes up, before they buy - the price goes down. Any price conversion filter for the purpose of prediction is a futile exercise.
Physics doesn't work. There is a currency market here. The price has no inertia, as tranches (selling/buying in several stages) are not considered in forex...
There's a currency market here. The price depends on what is bought or sold at the moment. Before they sell, the price goes up, before they buy, the price goes down. Any price conversion filter for the purpose of predicting is a futile exercise.
Yup, and the flat earth rests on three whales. Then inflated and shifted to four elephants. Here are the exact blueprints.
And there's stars and sun in the sky. They were scotched for beauty.
Answered the same:
The derivative is a regression?=============
It's not so clear-cut about PF either. PF can and should be used. Just not in the way one is used to.
I even posted a video of filter, where lines of spectrum were drawn, which was calculated on the basis of PF. Nothing was repeated there.
The PF is already there - it's MA. The MA is just pulling the band of the quote, i.e. the most probable one. Reinventing the wheel?
Thez to the power of -1, is a delay of one beat in the DSP. In forex it is the current bar minus the previous bar at all 4 prices respectively. Meaning?