EhlersFilter: Ehlers Filters - moving average type smoothers

In IlyaKipnis/DSTrading: Digital Signal Trading

Description

Ehlers Filters – moving average type smoothers

Usage

  EhlersFilter(HLC, n = 15, nCoefLookback = 10,
    priceMethod = "Close",
    coefMethod = c("Distance", "AbsVal", "Ichimoku"),
    sumType = c("arithmetic", "wilder"))

Arguments

HLC	an HLC type xts object
n	number of periods to look back
nCoefLookback	number of periods over which to compute one coefficient
priceMethod	"Close" for closing price, otherwise uses Ehlers (H+L)/2
coefMethod	one of three possible methods to compute a coefficient. Distance computes the sum of squares of differences of the last nCoefLookback prices and the current price. AbsVal computes the absolute difference between the current price and the price nCoefLookback periods ago. Ichimoku computes the average of the highest high of the last nCoefLookback periods and the lowest low.
sumType	either of "arithmetic" or "wilder" type arguments for the type of sum.

Value

the quotient of the sum of the last n coefficients multiplied by price divided by the sum of the coefficients.

Note

TODO: implement more possible coefficient methods.

References

http://www.mesasoftware.com/Papers/Ehlers%20Filters.pdf

IlyaKipnis/DSTrading documentation built on May 8, 2019, 1:39 p.m.