Adaptive Price Filtering with a Non-Repainting Deviation

Summary

The document describes a technical indicator that filters price data using a deviation measure that adjusts with the chosen filter size. Its purpose is to remove selected price changes and leave a smoother filtered price series. The text distinguishes this measure from standard deviation and says its calculated values vary with the filter size.

Users can choose fractional filter sizes and are advised to experiment with the period and size before using the indicator. A change in the plotted color is offered as a possible signal. The author states that the adjustment does not repaint, but provides no performance tests, parameter guidance, or evidence that color changes predict profitable trades. The method is therefore presented as an indicator concept and a possible signal aid, with its practical value left to independent evaluation.

Key ideas

• The indicator filters source prices using a deviation measure that adapts to the filter size.
• Its deviation measure is described as different from standard deviation.
• Filter size may be fractional, and the author recommends experimenting with settings.
• Color changes can be treated as possible signals, but no trading results are supplied.
• The author says the calculation adapts without repainting.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.