Share New Research 
Inspired by my friend and colleague Aleksandr Temesov Ph.D. in digital signal processing, who synthesized the minimum phase part of the filter generated by the REMEZ exchange algorithm.
https://eeweb.engineering.nyu.edu/iselesni/EL713/remez/remez.pdf
Thanks to Derek Melchin for concise code of the custom indicator.
Here are custom indicators for Finite Impulse Response Synthesized Filters:
Temesov Adaptive Trend Line (TATL) with filter length 21 bars.
Fast Adaptive Trend Line (FATL) with filter length 40 bars.
Slow Adaptive Trend Line (SATL) with filter length 100 bars.
Hope they will be useful in generating alphas on QuantConnect.
Spacetime
superb!
.ekz.
Thanks for sharing, Vladimir
For the benefit of others, can someone please share any links to articles or videos on actual / practical use of Digital Signal processing, with examples?
The above to me appear to be similar to custom moving averages, but no more advantageous than, say, an ALMA, HMA, LWMA or other weighted moving averages.
Are these synthesized filters better in some way? If so, how so?
Vladimir
ekz.
-> Are these synthesized filters better in some way? If so, how so?
The simple moving average phase is usually delayed by about half the moving average period.
TATL, FATL, SATL have been synthesized to minimize phase delay and at the same time be smooth.
To see the difference between SATL and SMA you just need to plot them on the same chart.
.ekz.
I see. I was thinking more of a comparison with other weighted MAs, like the LWMA and ALMA in the attached backtests.
Forgive my ignorance on this, as it may be obvious to others, but not me. Which of the MAs in the plotted chart would be the preferred one, and why?
Vladimir
ekz.
You have compared 100 bars SATL with 20 bars LWMA and 20 bars ALMA.
This is how they look with the same period of 100 bars.
.ekz.
Correct. That was that was the comparison I intended. If there were a strategy that made use of your 100-period SATL, i would use a 20-period LWMA or ALMA instead. Would they not perform similarly?
Vladimir
There are no good or bad indicators, as there are no good or bad colors,
there is an art to use them.
Derek Melchin, thank you for the medal.
Vladimir
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