Research method
Lowpass filter
Lowpass filter is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The archive
Where the method has been read
Read in the archive13 readings
1985Constructing a recursive two-gain price smoother1991Constructing a coincident moving average as a lowpass filter1994Centering a dual lowpass bandpass on a counted cycle1997Zero-lag cycle filters can fail on a price series2002Constructing zero-lag finite-impulse-response and exponential smoothers2006Constructing lowpass, highpass, and finite impulse response filters from one recurrence2010Constructing cycle versus trend mode filters2010Constructing a trend filter as a low-frequency model2014Constructing a roofed stochastic from highpass and lowpass stages2015Whitened lowpass filters for trend and countertrend2016Building Nyquist-safe lowpass trend filters2018Constructing a Finite Impulse Response Filter compared with Exponential smoothing2020Finite-memory truncation for cycle filters
This registry entry describes a research method. It is not investment advice and does not make a performance claim.