Summary: I am hoping we can share ideas and concepts for generic noise filters that basically eliminate "chop" while leaving most trend signals intact.
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I have a discretionary system that I automated into a mechanical system. I generalized the signals to 18 generic conditions across n number of time frames.
Back testing and optimizing 18 conditions over multiple times frames (e.g., 4) is a monster of a task that takes 1.5 days on 32/64 cores. I am using MultiCharts .NET for backtesting and optimization, which does not support GPU computation.
So what I want to do is have a filter step before checking signal conditions. Something akin to:
if(chop_detected != 1), check_conditions
Do you mind sharing your experience with indicators or filters that work on filtering noise, volatility, and/or "chop" ?