Stocks & Commodities V. 36:03 (8–11): Recursive Median Filters by John F. Ehlers

Recursive Median Filters by John F. Ehlers

Impulsive noise spikes or extreme price or volume data are not unusual in the financial markets and these extreme values can throw off your averaging calculations. How can you set up a data filter to re-move these extreme price movements? This STOCKS & COMMODITIES Contributing Editor shows you a way to handle this by using a filter that discards all data except the median value.

Median filters are best applied to remove impulsive or spiking types of noise. Rather than averaging the spike into the filter output, median filters simply ignore the spike. Median filters are routinely used for processing photographs and video because they preserve the sharp edges in the images rather than smoothing them as is done by averaging filters ...