What is RFTL (Reference Fast Trend Line) and RSTL (Reference Slow Trend Line)?
What is RFTL (Reference Fast Trend Line) and RSTL (Reference Slow Trend Line)?
RFTL and RSTL are support "slow" trend line are digital filters response of LPF 1 and LPF 2 to the entry discontinuous series taken with delays. Support lines of RFTL and RSTL are analogues to simple moving "average" in the sense of their delay in relation to the current prices.
Indicators of FTLM (Fast Trend Line Momentum) and STLM (Slow Trend Line Momentum) show the tempo of change (fall or growth) of FATL and SATL and are calculated similarly to indicator Momentum by formulas:
FTLM(k) = FATL(k) - RFTL(k),
STLM(k) = SATL(k) - RSTL(k).
Main difference of FTLM and STLM
Main difference of FTLM and STLM from classical technical instrument Momentum is that for its calculation not the close prices but smoothed (leveled) in the result of filtration values of the trend line are used. In the result FTLM and STLM turn out more leveled (smoothed) and regular functions than the classical instrument Momentum, and therefore have more forecasting value.
During computation the classical indicators Momentum requirement is often not fulfilled and it leads to unavoidable distortions in the spectrum of the entering signal. Specialists in the digital processing of the signals name these distortions aliasing that is frequencies overlay or ambiguity. This ambiguity leads to strong irregularity and chaos in the classical technical indicator Momentum.
A set of the technical instruments of the method contains two more new oscillators. They are indexes of RBCI and PCCI.
RBCI (Range Bound Channel Index) - is calculated by means of the channel (bandwidth) filter (CF).
PCCI Index (Perfect Commodity Channel Index) - is a perfect commodity channel index.
It has some outer similarity in the calculating method with commodity channel index CCI by D. Lambert. Indeed, CCI index is calculated as normalized difference between current price and its moving average and PCCI - as the difference between closing price and its mathematical expectation represented by the FATL value. Here lies more than in comparison with CCI the perfection of PCCI. PCCI index - is a normalized for its standard deviation high frequency component of the currency rate volatility.
Main Principles for the Trading Algorithm Development Using the Digital Filters:
- Trade only in the direction of the prevailing tendency the direction of which is specified by "slow" adaptive trend line SATL;
- To consider dynamic characteristics of the "fast" and "slow" trend represented by the FTLM and STLM indicators;
- To use information on what area of the values (neutral, overbought, oversold, local maximum and local minimum) is the sum of prevailing market cycles (index of RBCI) in chosen by means of frequency range spectral analysis;
- To take oscillator signals as secondary ones in cases when trend indicators are evidence of the very marked bearish or bullish tendency availability;
- To take oscillator signals as main ones in cases when trend indicators give signals about absence of the very marked tendency;
- To use flexible system of protective stop orders based on the values of RBCI, PCCI indexes and volatility values of the "fast" market oscillations.
Main rules for the above mentioned instruments interpretation are the following:
- Growing SATL line is evidence of the bullish trend on the market. The point of the reversal beginning of the bearish trend is considered the point of the local minimum of SATL. The point of finishing the reversal of the bearish trend is the point where the sign of STLM changed from minus into plus.
- Falling SATL line is evidence of the bearish trend on the market. The point of the bullish trend reversal beginning is considered the point of the local SATL maximum. The point of finishing the bullish trend reversal is the point where STLM sign changed from plus into minus.
- Close to horizontal the form of SATL is evidence of the neutral tendency.
- STLM interpretation requires special attention. Positive value of STLM is evidence of the bullish trend and the negative one testifies the bearish trend. STLM is an advance indicator. Local minimum of STLM always precedes the local minimum of SATL. Local maximum of STLM always precedes the local maximum of SATL. Achievement by STLM its points of extremum is necessary but insufficient condition for the achievement by the curve of SATL the top or the bottom. Growing STLM at growing SATL is evidence of the bullish trend acceleration. Horizontal and positive STLM at growing SATL is evidence of the set bullish trend. The more absolute the value of STLM, the more potential the bullish trend has. Falling STLM at falling SATL testifies the bearish trend acceleration.
Horizontal and negative STLM at growing SATL testifies the bearish trend setting. The more absolute value of STLM, the more potential the bearish trend has.
4 Attachment(s)
All Digital Filters indicators - old ones
Please find old digital filters indicators attached which I found inside my PC.
Trend signals (RSTL):
Attachment 7555
FARL crossing RFTL:
Attachment 7556
RBCI:
Attachment 7557
1 Attachment(s)
ColorJFatl_Cloud_Digit_Grid - indicator for MetaTrader 5
ColorJFatl_Cloud_Digit_Grid - indicator for MetaTrader 5
Attachment 24432
Quote:
Hybrid of the FATL (Fast Adaptive Trend Line) digital filter and analog adaptive averaging JMA — the ColorJFatl indicator that fills the chart space with a colored background and displays the most recent value as a price label with the possibility to round the channel levels up to a required number of digits, as well as displays a price grid with those rounded values.
2 Attachment(s)
The article - Practical evaluation of the adaptive market following method
Practical evaluation of the adaptive market following method
Quote:
The trading strategy presented in this article was first described by Vladimir Kravchuk in the "Currency speculator" magazine in 2001 - 2002. The system is based on the use of digital filters and spectral estimation of discrete time series.
Attachment 29389
Quote:
A live chart of quote changes may have an arbitrary form. In mathematics, such functions are called non-analytic. The famous Fourier theorem implies that any function on a finite time interval can be represented as an infinite sum of sinusoidal functions. Consequently, any time signals can be uniquely represented by frequency functions, which are called their frequency spectra.
Attachment 29390
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For non-random signals, the transition from the time-domain to frequency-domain representation (i.e., calculation of the frequency spectrum) is performed using the Fourier transform. Random processes are represented by the process' power spectral density (PSD), which is a Fourier transform not of the random process itself, but that of its autocorrelation function.
1 Attachment(s)
Digital filters - separate - indicator for MetaTrader 5
Digital filters - separate - indicator for MetaTrader 5
Attachment 31836
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A set of digital filters that are always drawn in separate window (due to their nature).
Supported types are:
- FTLM - Fast Trend Momentum.
- STLM - Slow Trend Momentum.
- RBCI - Range Bound Channel Index.
- PCCI - Perfect Commodity Channel Index.
4 Attachment(s)
Digital Filters indicator for Metatrader 5
Figure - indicator for MetaTrader 5
This is 3-in-1 indicator: FATL, RSTL and RFTL (3 lines on the main chart).
Attachment 35580
Attachment 35581
Attachment 35582
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Three
indicator buffers . Each buffer has its own calculation formula: 39 previous close prices are used for FATL, 99 for RSTL and 45 for RFTL. For each buffer, previous Close prices have their own factors. The coefficients themselves can be viewed in code.
2 Attachment(s)
AllClusterFilter indicators for MT4 and MT5
Premium section news:
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Attachment 39519
AllClusterFilter_v1.1 indicator for MT5 is on this post. This is the AllClusterFilter indicator for Metatrader 5 which is based on Creating Non-Lagging Digital Filters article and with the new set of prices. Error fixing - read this post.
AllClusterFilter_v1.1 600+ indicator is on this post. This is the AllClusterFilter indicator which is based on Creating Non-Lagging Digital Filters article and with the new set of prices.
Attachment 39520
Fir and Hann Digital filters
Fir filters - indicator for MetaTrader 5
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Some of the digital filters in one place :
- Hanning
- Hamming
- Blackman
- Blackman / Harris
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Hann filter - indicator for MetaTrader 5
Quote:
This is a variation of a digital filter using Hann windowing for filtering
- with "speed up" factor set to 0, it is the same as original filter
- any speed up factor > 0 makes it a bit more responsive
