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
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Read in the archive5 readings
1991Constructing standardized sentiment trend filters1994Stacking scored filters into a hierarchical stock outlook system1999Lagged trend filters for neural-network inputs2001Shared lookback as the identity of a log range index2013Constructing asymmetric volatility bands for reversal, trend, and stops
This registry entry describes a research method. It is not investment advice and does not make a performance claim.