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Hedge Fund Managed Futures

Trend-Following Filters – Part 10

alphaarchitect

2 months ago

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1. Introduction

Two previous articles, “Trend-Following Filters – Part 7” [1] and “Trend-Following Filters – Part 9” [2], examined, from a digital signal processing (DSP) time domain perspective, digital filters commonly used by technical analysts to aid in making trading decisions.

The filters examined in “Part 7” include moving average (MA), linear weighted moving average (LWMA), and exponential smoothing (ES), which are low pass filters modeled on the assumption that the input follows...

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