Research method
Trend filter
Trend 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 graph8
How the method is built, and where it has been read
Depends on
Often reviewed together
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Relative Strength Index7 readings
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Moving-average crossover7 readings
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Mechanical trading system8 readings
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Dominant cycle detection8 readings
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Rule-based entry9 readings
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Average Directional Index9 readings
Read in the archive24 of 184 readings
1982Spectrum-first construction of moving-average trend filters1982An odd-length smoother from a cycle cutoff1984Matching average age across price filters1987Testing price-volume agreement after percent reversal filters1988Building probability-density adaptive weights and a chi-square trend filter1988Opening-range brackets, a two-bar trend filter, and bounded stops1988Auditing the forty-month stock-price cycle1988Remaining life on a percent-filtered swing chart1989Alpha-beta lag parameters versus moving-average windows1989Equal-weight zero-cross from smoothed spreads1989Constructing alpha-beta price channels and trend filters1990Bezier-curve price trend filter1990Friday-filtered on-balance confirmation lines1991Constructing a variable-lookback random walk trend filter1991Ranking turning points with percentage swing filters1991Constructing standardized sentiment trend filters1992Ranking futures trend tendency against a random walk1992Confirming currency-fund trends with a crossover and a filter1992Constructing a nine-state trend, momentum, and breadth score1992Constructing a damping-index trend filter1992Constructing multi-span smoothed rate-of-change filters1992A moving-average slope filter for crossover signals1992Variable lookback and average true range as a trend-filter construction1992Building a random walk index trend filter
This registry entry describes a research method. It is not investment advice and does not make a performance claim.