OPEN-SOURCE SCRIPT
Hybrid Convolution Filter

Introduction
Today i propose an hybrid filter that use a classical FIR architecture while using recursion. The proposed method aim to reduce the lag generated by fir filters. This particular filter is a sine weighted moving average, but you can change it since the indicator is built with the custom filter template (1). Even if it use recursion it still is a FIR filter since the impulse response is finite.
The Indicator

In red the hybrid swma and in blue the classic swma of both the same period. The difference can be seen.
The switch between the input price and the past values of the previous convolution values is made by using exponential averaging, the window function is the same as f(x) in the code.
Any filter can use this architecture, the indicator is built around the custom fir template, see (1)
Conclusion
I presented a FIR filter using recursion in its calculation, the integration is made with respect to the proposed template, therefore any user can simply modify f(x) to have different filter without the need to make any change. However curious users might want to change the window function of the exponential averager, in order to do so change sgn = f(i/length) in line 11 for sgn = fun(i/length) where fun is your custom function, make sure to add it at the start of the script where all the other functions declarations are.
Thanks for reading !
(1)

Today i propose an hybrid filter that use a classical FIR architecture while using recursion. The proposed method aim to reduce the lag generated by fir filters. This particular filter is a sine weighted moving average, but you can change it since the indicator is built with the custom filter template (1). Even if it use recursion it still is a FIR filter since the impulse response is finite.
The Indicator
In red the hybrid swma and in blue the classic swma of both the same period. The difference can be seen.
The switch between the input price and the past values of the previous convolution values is made by using exponential averaging, the window function is the same as f(x) in the code.
Any filter can use this architecture, the indicator is built around the custom fir template, see (1)
Conclusion
I presented a FIR filter using recursion in its calculation, the integration is made with respect to the proposed template, therefore any user can simply modify f(x) to have different filter without the need to make any change. However curious users might want to change the window function of the exponential averager, in order to do so change sgn = f(i/length) in line 11 for sgn = fun(i/length) where fun is your custom function, make sure to add it at the start of the script where all the other functions declarations are.
Thanks for reading !
(1)

Script open-source
In pieno spirito TradingView, il creatore di questo script lo ha reso open-source, in modo che i trader possano esaminarlo e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricorda che la ripubblicazione del codice è soggetta al nostro Regolamento.
Check out the indicators we are making at luxalgo: tradingview.com/u/LuxAlgo/
"My heart is so loud that I can't hear the fireworks"
"My heart is so loud that I can't hear the fireworks"
Declinazione di responsabilità
Le informazioni ed i contenuti pubblicati non costituiscono in alcun modo una sollecitazione ad investire o ad operare nei mercati finanziari. Non sono inoltre fornite o supportate da TradingView. Maggiori dettagli nelle Condizioni d'uso.
Script open-source
In pieno spirito TradingView, il creatore di questo script lo ha reso open-source, in modo che i trader possano esaminarlo e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricorda che la ripubblicazione del codice è soggetta al nostro Regolamento.
Check out the indicators we are making at luxalgo: tradingview.com/u/LuxAlgo/
"My heart is so loud that I can't hear the fireworks"
"My heart is so loud that I can't hear the fireworks"
Declinazione di responsabilità
Le informazioni ed i contenuti pubblicati non costituiscono in alcun modo una sollecitazione ad investire o ad operare nei mercati finanziari. Non sono inoltre fornite o supportate da TradingView. Maggiori dettagli nelle Condizioni d'uso.