Whenever John Ehlers writes about a new indicator, I crack it open and wire it straight into C for the Zorro platform. Or rather, I let ChatGPT do most of the work. The One Euro Filter is a minimalistic, yet surprisingly effective low-latency smoother that reacts instantly to volatility with less lag of the usual adaptive averages. This is achieved by dynamically adapting its time period. Continue reading “The One Euro Filter”
Tag: Low-Lag
The Trend Experiment
This is the second part of the trend experiment article series, involving 900 systems and 10 different “smoothing” or “low-lag” indicators for finding out if trend really exists and can be exploited by a simple algorithmic system. When you do such an experiment, you have normally some expectations about the outcome, such as: Continue reading “The Trend Experiment”
Trend Indicators
The most common trade method is ‘going with the trend‘. While it’s not completely clear how one can go with the trend without knowing it beforehand, most traders believe that ‘trend’ exists and can be exploited. ‘Trend’ is supposed to manifest itself in price curves as a sort of momentum or inertia that continues a price movement once it started. This inertia effect does not appear in random walk curves. Continue reading “Trend Indicators”