Stocks & Commodities V. 39:09 (8–14, 23): Windowing by John F. Ehlers

Stocks & Commodities V. 39:09 (8–14, 23): Windowing by John F. Ehlers
Item# V39C09_297EHLE
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Windowing by John F. Ehlers

In statistics and signal processing, when a waveform or data sequence is multiplied by a window function, the result is the part where they overlap, often thought of as “the view through the window.” Windowing can improve the functionality of filters used for trading such as the simple moving average. Which window function works best for this? We’ll find out.

Simple moving averages (SMA) are ubiquitous in technical analysis. However, the truth is that they are not very good filters. The purpose of this article is to present simple, easy-to-program modifications that represent a near-optimum compromise between filtering and lag for their use in technical analysis of the market ...

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