OPEN-SOURCE SCRIPT
STD/C-Filtered, Truncated Taylor Family FIR Filter [Loxx]
STD/C-Filtered, Truncated Taylor Family FIR Filter [Loxx] is a FIR Digital Filter that uses Truncated Taylor Family of Windows. Taylor functions are obtained by adding a weighted-cosine series to a constant (called a pedestal). A simpler form of these functions can be obtained by dropping some of the higher-order terms in the Taylor series expansion. If all other terms, except for the first two significant ones, are dropped, a truncated Taylor function is obtained. This is a generalized window that is expressed as:
(1 + K) / 2 + (1 - K) / 2 * math.cos(2.0 * math.pi *n / N) where 0 ≤ |n| ≤ N/2
Here k can take the values in the range 0≤k≤1. We note that the Hann 0 ≤ |n| ≤ window is a special case of the truncated Taylor family with k = 0 and Rectangular 0 ≤ |n| ≤ window (SMA) is a special case of the truncated Taylor family with k = 1.
Truncated Taylor Family of Windows amplitudes for this indicator with K = 0.5
This indicator also includes Standard Deviation and Clutter filtering.
What is a Standard Devaition Filter?
If price or output or both don't move more than the (standard deviation) * multiplier then the trend stays the previous bar trend. This will appear on the chart as "stepping" of the moving average line. This works similar to Super Trend or Parabolic SAR but is a more naive technique of filtering.
What is a Clutter Filter?
For our purposes here, this is a filter that compares the slope of the trading filter output to a threshold to determine whether to shift trends. If the slope is up but the slope doesn't exceed the threshold, then the color is gray and this indicates a chop zone. If the slope is down but the slope doesn't exceed the threshold, then the color is gray and this indicates a chop zone. Alternatively if either up or down slope exceeds the threshold then the trend turns green for up and red for down. Fro demonstration purposes, an EMA is used as the moving average. This acts to reduce the noise in the signal.
Included
(1 + K) / 2 + (1 - K) / 2 * math.cos(2.0 * math.pi *n / N) where 0 ≤ |n| ≤ N/2
Here k can take the values in the range 0≤k≤1. We note that the Hann 0 ≤ |n| ≤ window is a special case of the truncated Taylor family with k = 0 and Rectangular 0 ≤ |n| ≤ window (SMA) is a special case of the truncated Taylor family with k = 1.
Truncated Taylor Family of Windows amplitudes for this indicator with K = 0.5
This indicator also includes Standard Deviation and Clutter filtering.
What is a Standard Devaition Filter?
If price or output or both don't move more than the (standard deviation) * multiplier then the trend stays the previous bar trend. This will appear on the chart as "stepping" of the moving average line. This works similar to Super Trend or Parabolic SAR but is a more naive technique of filtering.
What is a Clutter Filter?
For our purposes here, this is a filter that compares the slope of the trading filter output to a threshold to determine whether to shift trends. If the slope is up but the slope doesn't exceed the threshold, then the color is gray and this indicates a chop zone. If the slope is down but the slope doesn't exceed the threshold, then the color is gray and this indicates a chop zone. Alternatively if either up or down slope exceeds the threshold then the trend turns green for up and red for down. Fro demonstration purposes, an EMA is used as the moving average. This acts to reduce the noise in the signal.
Included
- Bar coloring
- Loxx's Expanded Source Types
- Signals
- Alerts
Open-source script
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.
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