Adaptive SuperSmoother: Adjusting Filter Period with Normalized Rate of Change

Summary

This indicator pairs a fixed-period SuperSmoother with an adaptive version and plots their difference as an oscillator. The method first filters the input with a base SuperSmoother, measures its one-bar change, and scales that change by its root mean square over a chosen window. The scaled magnitude is capped, then used to shorten the period of a second SuperSmoother as the filtered series changes more quickly. A minimum adaptive period limits how far the filter can be shortened.

The accompanying explanation argues that a second-order SuperSmoother attenuates high-frequency noise more strongly than a first-order EMA without perceptibly greater lag. It suggests interpreting the adaptive filter’s position relative to the fixed filter as a directional signal, and oscillator peaks or valleys as possible turning points. The document provides a conceptual comparison and chart illustration, but no systematic performance results; filter-based signals therefore remain unvalidated here and may not generalize across instruments or settings.

Key ideas

• A fixed-period SuperSmoother provides the reference series for adapting a second filter.
• The adaptive period depends on the base filter’s one-bar change normalized by its rolling RMS.
• Larger normalized changes shorten the adaptive filter period, with a floor limiting the adjustment.
• The difference between adaptive and fixed filters forms an oscillator that can be inspected for direction and turning points.
• The document gives no quantitative validation of the suggested trading interpretations.

Tags

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