Building A Better Trend Filter

May 25th, 2012, 07:39 AM

I first encountered this approach here (an interesting paper overall, give it a read), named "moving average trend channel". I use it for some longer-term strategies, modified to use an EMAs instead of SMAs. One possible extension I've been thinking about is also adding a slope threshold to further reduce whipsaws.

EL code:

Code

inputs:
	length (200);
variables:
rho(0),
tau(0);

if rho = 0 then
	rho = c[1];

tau = iff(c > rho[1], 1, -1);
rho = iff(tau = 1, maxlist(Xaverage(l,length), rho[1]), minlist(Xaverage(h,length), rho[1]));


Plot1(rho, "Increasing", Green);
Plot2(rho, "Decreasing", Red);
Plot3(rho, "Chop", Cyan);
Plot4(rho, "MATC", iff(rho > rho[1], GetPlotColor(1), iff(rho < rho[1], GetPlotColor(2), GetPlotColor(3))));

NoPlot(1);
NoPlot(2);
NoPlot(3);

May 25th, 2012, 09:04 AM

Jeff65

This post almost slipped by me. It would be great if you could send me a copy of the code.

I probably should join. Another thing to look into. Item #2343 on the to-do list.

Thanks.

Well bugger me.

I just this minute (5min before posting this) noticed your web address below your name!

Over the last 3 days, I've been looking at info on your site with great interest.
I love what you have been doing. Great work.
No wonder I liked your thread. Please continue.

Funnily enough, I came across your site via a post in Traders Laboratory.
Somebody posted a question there and I responded with my FIRST post to Traders Laboratory.
In this post, I posted a link to futures.io (formerly BMT) where they could download the "NWT Exit Suite" I have developed.
Being the first post, it had to be vetted by the administrator. Guess what? The removed the link and references to futures.io (formerly BMT). How childish.

Neil.

June 5th, 2012, 06:50 PM

I my opinion one of the best trend filter is the Butterworth filter

Butterworth filter design - MATLAB

Tr

June 5th, 2012, 08:25 PM

bomberone1

I my opinion one of the best trend filter is the Butterworth filter

Butterworth filter design - MATLAB

Tr

So what indicator do you have that you are basing this on?

Neil.

June 6th, 2012, 06:05 PM

This indicator is very good to filter a good trend.

June 6th, 2012, 07:59 PM

Please post a chart with the indicator on it as well as the code for the indicator.
Neil

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June 7th, 2012, 05:33 AM

I dont' have in mc, sorry.

June 7th, 2012, 06:28 AM

How about displaying a chart with it on it.

Secondly post any code for whatever charting package you have.

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June 7th, 2012, 07:37 AM

I have the same resources that you see on the link.

June 7th, 2012, 07:51 AM

Please display a chart you use it on.

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Building A Better Trend Filter

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Building A Better Trend Filter