Re: _SMA3: A steep roll-off lowpass filter

[Bob Fulks <bfulks@xxxxxxxxxxxx>]

>Alex and Bob, would you guys provide a technical analysis and critique of 
>this XMA function using the filter concepts in your previous posts?  How 
>does it compare to the functions you've posted?  Do you see anyway to make 
>it "better" in terms of lag and overshoot?  How would you improve it 
>according to your ways of thinking?

Here is a bit of an improvement:

---

Inputs: Price(NumericSeries),Leng(NumericSimple);
Vars:   EMA(0), n(leng), K(2/(n+1)), x((n-1)/2), y(0), m(Ceiling(0.3*x+1)), z(0);

z = Price;
y = 0.5 * (z + z[1]);
EMA = K * (y + (y - y[m]) * x/m) + (1 - K) * EMA[1];
XAverage_ZeroLag = EMA;

---

y is the two-bar average of price. This improves the high-frequency cut-off some and assures zero response at infinite frequency.

The shortening the lookback period "m", to about 30% what you had improves the transient response some.

The response on the Jurik test pattern (red curve) shows some overshoot and initial lag but the lag goes to one-half bar (the lag of the two-bar pre-filter) over time. The noise is gone because of the two-bar prefilter which has a null response at that frequency - not quite fair...) (The blue curve is one of my IIR filters for calibration.)

Bob Fulks


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