[blackcat] L2 John Ehlers Undersampled Double MA

20. März 2023

Level2
Background

This is a novel "undersampling data" processing trick proposed by John F. Ehlers in his April 2023 article "Just Ignore Them".

Function

In signal processing, undersampling, or bandpass sampling, is a technique whereby a bandpass-filtered signal is sampled at a sample rate below its Nyquist rate (twice the upper cut-off frequency), but the signal can still be reconstructed. When undersampling a bandpass signal, the samples are indistinguishable from samples of a low-frequency alias of the high-frequency signal.

John Ehlers notes that data smoothing is often used to avoid trading spikes. While this can result in fewer trading signals, it can also result in a delay in those trading signals. He describes how undersampling can be used in conjunction with Hann window finite impulse response (FIR) filters to remove high-frequency components in price data, resulting in less delay than traditional smoothing filters.

In this indicator, Hann windowing is applied a a pair of fast/slow moving averages which is used to improve their response perfomrnace. Yellow line is the fast line while fuchsia line is the slow line. You can judge bull bear stattus by checking the status it is in golden cross or in dead cross status.

Remarks
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