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1993issue C111-3

Concurrent highest-low filter with a largest-low-fall trigger

A concurrent-highest-low test first confirms an uptrend on ordered lows. Only then may a largest-low-to-low-fall trigger print a sell. Coding the gate as 1 and the trigger as 2 puts both conditions on one series.

  • The concurrent-highest-low filter is a binary uptrend gate. It is true only when the highest low of the last 5 periods is also the highest low of the last 19 periods.
  • The largest-low-to-low-fall trigger is evaluated only while that filter is true. It fires when the change from the prior session low to the current session low is the most negative change over the last 17 periods.
  • Dual-state-encoding records a true filter as 1, a true trigger as 2, and both-false as 0, so the gate and the sell can be read on one plot.
  • The sell is an exit from a long that may have been opened by another procedure. Repeated sells can print on successive sessions, but a false filter blocks every sell even if a long remains open.
Entries in this reading2 entries
Current trackTrend filter137 readingsRule-based entry174 readings

Two gates on ordered lows

This construction uses two gates in sequence. A trend-filter first asks whether recent lows still define an uptrend. Only after that gate is true may a downside trigger print a sell on the same session.

The first gate is a concurrent-highest-low test on ordered lows. The second gate is a largest-low-to-low-fall test on one-period changes in those lows.

The concurrent-highest-low filter

The concurrent-highest-low filter is a binary test. It is true only when the highest low of the last 5 periods is also the highest low of the last 19 periods.

A true concurrent-highest-low reading is treated as an uptrend state. The trend-filter must stay true before any downside trigger is allowed to print.

The largest-low-to-low-fall trigger

The one-period input to the trigger is the change from the prior session low to the current session low.

The largest-low-to-low-fall trigger is evaluated only when the concurrent-highest-low filter is true. If the filter is false, the trigger remains false.

When the filter is true, the trigger fires if the current one-period low change is the most negative change over the last 17 periods.

Sell, stay, or abstain

Editorial interpretation: the pairing is a rule-based-entry procedure. It maps filter state, one-period low changes, and a lookback minimum into a sell, a stay-in-state reading, or abstention.

The sell reading is specified as an exit from a long position that may have been opened by a different procedure. Repeated sell readings can print on successive sessions. If the trend-filter turns false, no sell reading can print even while a long position remains open.

Read both states on one plot

The two states can be plotted together by coding a true filter as 1 and a true trigger as 2, with 0 meaning both conditions are false.

Dual-state-encoding is a plotting and spreadsheet convention that keeps both conditions on one series. Editorial reading: a 2 is the sell, a 1 is the uptrend gate without a trigger, and a 0 is abstention because the filter is off.

December T-bond OHLC with CHL/LLF histogram, May–September 1993

December Treasury bond futures, 13 May to 13 September 1993. Price works lower-to-higher on the printed scale while the top histogram sits at 1 when the concurrent-highest-low filter is on and jumps to 2 on a largest-low-to-low-fall sell. Values were read off sidebar Figure 1; the source does not print a numeric table.
December Treasury bond futures, 13 May to 13 September 1993. Price works lower-to-higher on the printed scale while the top histogram sits at 1 when the concurrent-highest-low filter is on and jumps to 2 on a largest-low-to-low-fall sell. Values were read off sidebar Figure 1; the source does not print a numeric table.December Treasury bond futures · daily · 1993-05-13T00:00:00.000Z to 1993-09-13T00:00:00.000Z

CHL is encoded as 1 and LLF as 2 so both gates share one histogram. The source notes sells on 22–23 July and the filter going dark on 7–8 July, when a long could not exit. Daily closes and histogram states are approximate readings from the raster, not spreadsheet cells.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
7 of 33 in the Trend filter track
19941-7 pp.Next on Trend filterUnit-invariant trend filters and the c-testPrice and time are heterogeneous inputs: a valid trend filter must keep the same meaning when a price increment is restated in another unit over the same sampling interval.
All readings on this track · 33 readings
  1. 1988Opening-range brackets, a two-bar trend filter, and bounded stops
  2. 1990Bezier-curve price trend filter
  3. 1992Constructing a damping-index trend filter
  4. 1992Building a random walk index trend filter
  5. 1992Phase diagrams for moving-average trend filters
  6. 1993Volume-weighted change smoothing and trend ranking
  7. 1993Concurrent highest-low filter with a largest-low-fall trigger
  8. 1994Unit-invariant trend filters and the c-test
  9. 1995Constructing cup and cap entries with a three-bar net line
  10. 1997Why a daily timing evaluation depends on interval, lookbacks, and the fitting objective
  11. 2001A volume budget clock for trend-segment construction
  12. 2001Keep three jobs separate when you test a composite score
  13. 2002Evaluating the weekly four-percent close filter as a market-state procedure
  14. 2003Constructing a confirmed zigzag trend filter
  15. 2004Decompose high, low, and close into separate forecast streams
  16. 2005Three-state moving-average breakout bar coloring
  17. 2005Constructing a volume and move-adjusted trend filter
  18. 2005A fifty-day average breakout as a trend permission filter
  19. 2005Current-bar inclusion can mute a stochastic channel break
  20. 2006A stochastic oscillator gated by a long-term exponential average
  21. 2010A construction test for a modified volume-price trend filter
  22. 2011Constructing a Spearman rank trend filter
  23. 2013Constructing a repeated-median slope as a resistant trend filter
  24. 2014Combining a relative-strength index and trend filters for oversold setups
  25. 2014Price-rooted lookbacks for a relative strength index, a moving average, and a trend filter
  26. 2015Evaluating next-session intermarket range forecasts
  27. 2018Read the intermarket weight matrix first, then the predicted moving-average filter
  28. 2018Constructing the stiffness trend filter from moving-average holds
  29. 2018The averaging kernel and the lagged trend gate are separate specifications
  30. 2019A trend filter is not ready to compare until portfolio constraints are written down
  31. 2019Lookback, threshold, and position-capacity for a stiffness trend-filter
  32. 2020Combining a trend filter with a moving average and a stochastic oscillator
  33. 2020Constructing a relative-strength oscillator with a rank-agreement trend filter
By fieldIndicators and filters682 readingsBy year199376 readings
All 137 readings tagged Trend filter
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