alexgrover

Hamming Windowed Volume Weighted Moving Average

Applying a window to the filter weights provides sometimes extra control over the characteristics of the filter.In this script an hamming window is applied to the volume before being used as a weight.In general this process smooth the frequency response of a filter.

Lets compare the classic vwma with hamming windowed vwma


Something i noticed is that windowed filters depending on their period (high ones in general) tend to make less bad crosses with the price (at least with the hamming window)

Here are some data regarding number of crosses with period 50 with the hamming vwma in orange and the classic vwma in purple


Feel free to use the hamming window when using weighted filter.
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Commenti

I think this hamming window should be precomputed in an array of the window length. I think this implementation creates an oscillating hamming filter oscillates rather than being a sliding window over the volume. Sadly TV doesnt have arrays :'(
+1 Rispondi
alexgrover 1996anoojpatel
@1996anoojpatel, You are correct, will be fixed in an update.
+2 Rispondi
alexgrover 1996anoojpatel
@1996anoojpatel, I decided to introduce new windows, this time it is done the right way.



Thanks for your comment !
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nice
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beautiful work
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