Retention-Acceleration Filter

จำนวนเข้าชม 1645
Another Adaptive Filter

This indicator share the same structure as a classic adaptive filter using an exponential window with a smoothing constant.
However the smoothing constant used is different than any previously made (Kalman Gain, Efficiency ratio, Scaled Fractal Dimension Index),
here the smoothing constant is inspired by the different formulations for parameters resolution used in HPLC S. Said (J. High Resolution Chromatograpy &Chromatography Communciations, (1979) 193).

Different assumptions can be made which lead to different expressions for resolution in chromatographic parameters, therefore we will use highest's and lowest's in order to estimate an optimal smoothing constant based on if the market is trending or not. It can be complicated at first but the goal is to provide both smoothness at the right time and a fast estimation of the market center.

Handling Noise

In Red a Pure Sinewave. In White Sinewave + Noise. In Blue our filter of Period 3

Handling stationary signals is not the best thing to do since we need highest's and lowest's and for that non stationary signals with trend + cycle + noise are more suitable.

It is also possible to make it act faster by quiting the pow() function of AltK with sqrt(length) and smoothing the remaining constant.


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At it again I see... You are an asset to the TradingView community
+2 ตอบกลับ
alexgrover overttherainbow
@overttherainbow, Thanks for those kind words :) please let me know if you have suggestions or critics about this indicator.
Interesting stuff, thanks for sharing =D
+1 ตอบกลับ
@ICEKI, You are always welcome, please dont hesitate to share what you like and dont like about the indicators i post or make a suggestion about future indicators i could make :)
ICEKI alexgrover
@alexgrover, SURE, thank you so much =D
Thanks for sharing!! Great work!! It is different from kalman smoother. How to read both together, for example kalman smoother above adaptive filter, trending ?
+1 ตอบกลับ
alexgrover sudhir.mehta
@sudhir.mehta, Thanks for your feedback. The retention-acceleration filter is not a low lagg filter and therefore, act like a classic moving average. A Kalman Smoother (non lagging)
above a retention-acceleration filter show a uptrend, the contrary show a downtrend, filter crosses only give information about the direction. If you want to now if the market is trending then
look at indicator like the "efficiency ratio" or "fractal dimension index" :)
sudhir.mehta alexgrover
@alexgrover, Thanks!!
+1 ตอบกลับ