Digital Filters (FATL, SATL, RBCI)

[Elliott Wave]

Here are a few digital filters I converted from MetaTrader.

Main indicators are digital FIR filters with specially selected for the specific market parameters. What is the advantage of our indicators?

Firstly, indicators have complex impulse feature allowing more precisely keeping the track of the main cycles of the market and providing comprehensively suppression the market noise.

Secondly, indicators have no any phase lag (angular lag) with regard to current prices (FATL, SATL) in contrast to moving averages, and if there is lag (RFTL, RSTL) more smoothness and predictability for indicator behavior is provided.

Fast Adaptive Trend Line - is a short- term trend line estimate. Low frequency filter parameters are selected from current spectrum of specified market. Unlike moving average FATL has no any phase lag regarding current price being its average of distribution.

Slow Adaptive Trend Line - is a long- term trend line estimate. Low frequency filter parameters are selected from current spectrum of specified market. SATL (k) is an average of distribution of FATL (k). Rising SATL line points out the bullish trend, falling line points the bearish trend.

Range Bound Channel Index - is an overall sum of all main market cycles. Range filter parameters are selected from the current market spectrum. In simplified formula RBCI (k) = FATL (k)-SATL (k). RBCI is a quasi-stationary process that is a process with bound spectrum. When RBCI approaches its local maximum the prices approach the upper border of the trading channel and when RBCI approaches its local minimum the prices approach the lower border of the trading channel.

[NinjaTrader_JoshP]

Thanks for the contribution Elliott. We appreciate it.

[traderandreas]

PCCI Filter

Hi Elliot,
Could you please have a go at this one.

thanks

[kumar5]

I looked at the code for FATL it has
FTLBuffer=
(-0.02232324*Close[0]
+0.02268676*Close[1]
+0.08389067*Close[2]
+0.14630380*Close[3]
+0.19282649*Close[4]
+0.21002638*Close[5]
+0.19282649*Close[6]
+0.14630380*Close[7]
+0.08389067*Close[8]
+0.02268676*Close[9]
-0.02232324*Close[10]
-0.04296564*Close[11]
-0.03980614*Close[12]
-0.02082171*Close[13]
+0.00243636*Close[14]
+0.01950580*Close[15]
+0.02460929*Close[16]
+0.01799295*Close[17]
+0.00470540*Close[18]
-0.00831985*Close[19]
-0.01544722*Close[20]
-0.01456262*Close[21]
-0.00733980*Close[22]
+0.00201852*Close[23]
+0.00902504*Close[24]
+0.01093067*Close[25]
+0.00766099*Close[26]
+0.00145478*Close[27]
-0.00447175*Close[28]
-0.00750446*Close[29]
-0.00671646*Close[30]
-0.00304016*Close[31]
+0.00143433*Close[32]
+0.00457475*Close[33]
+0.00517589*Close[34]
+0.00336708*Close[35]
+0.00034406*Close[36]
-0.00233637*Close[37]
-0.00352280*Close[38]
-0.00293522*Close[39]
-0.00114249*Close[40]
+0.00083536*Close[41]
+0.00215524*Close[42]
+0.00604133*Close[43]
-0.00013046*Close[44]);

How did you arrive at the numbers and signs in front of the Close[n].
Also this is a look back of 44 can we change this ? If I change this what will be the numbers ? Any information regarding this is good for me I like to read the details of how to arrive at the numbers.

Thank you

[NinjaTrader_Bertrand]

For the filder coefficients used, try to google a site named DSP Design Performance by JD Taft if I recall his name correctly, there's should Java apps on it to calculate those...

[kumar5]

Like to know what were your inputs to the filter design.
Dr Taft site does not seem to exist.
I found other sites for filter design.

http://www.dsptutor.freeuk.com/

http://jdsp.asu.edu/jdsp.html

But like to know the design criteria.
What frequency range you are filtering?
I like to understand this so I can change the filter based on the need.

[turboscottomatic]

FATL, SATL (etc) origins....

Kumar -

There are some pretty deep discussions floating around about the 'AT&CF' filters for market analysis. The primary author that I'm aware of is called Vladimir Kravchuk (V. Kravchuk) and his work is in the Russian language. There are people selling versions of his ideas and people giving them away for free - mostly for Metatrader. Google his name or check these sites out:

http://iticsoftware.com/articles/digital-filters-fatl-satl-stlm-ftlm-1.html

http://iticsoftware.com/articles/digital-filters-fatl-satl-stlm-ftlm-2.html

http://www.fin-ware.com/indicators.html

http://www.forex-tsd.com/digital-filters/

It's a lot of interesting digital filter stuff, but would have to be converted into NT format. Good for someone with a signal processing / electrical engineering background. Too deep for me to develop, but not to use. Hope this helps.

Scott

[bizman70]

is there a way to smooth it out and use it as a seperate box like an rsi with a 0-100 range with overbouthgt and oversold