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To all those who enquired about the code for the trendline
on my plots (http://www.digital-web.net/~haferman/plot.html)
yes, Andreas has filled in the necessary details.
And he is right, you need to use the trendline with care...
I use it mostly to see what the current trend is, I haven't
found that it has any predictive value...
Jeff
> Andreas Grau wrote:
> List:
>
> I don't know if Jeff is still using the Kalman filter for his graph.
> If so, my translation of this filter available here:
> www.agent-provocateur.de/hpfilter.xls for the VBA-Code (sorry, no
> graphing), and www.agent-provocateur.de/hpfilter.pdf for the original
> explanation
>
> The VBA-routines returns an array of data. Formula input differs
> therefore a bit from the usual Excel way:
>
> - Mark the return array to receive the resulting data
>
> - enter the formula "=djinhpfilter($H$2:$H$261;$J$1)", where in this example "$H$2:$H$261" is the input array and "$J$1" is the smoothing factor
>
> - hit Shift-Ctrl-Return.
>
> If you did it right, the formula will be surrounded by { and } and
> copied to the whole return array.
>
> One word of caution: Kalman is not averaging, but smoothing data.
> Especially, it goes both directions through the input data, with
> the result, that the last few Kalman smoothed data may change as
> new input values are added. In some respect, Kalman has to be
> treated with the same caution as the Zig-Zag-Indicator.
>
>
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