To determine the measure of the central trend of a time series, you can use the arithmetic mean or median. Both methods have some disadvantages. The arithmetic mean is calculated by the simple moving average indicator. It is sensitive to emissions and noise. The median behaves more steadily, but there is a loss of information at the boundaries of the interval.
To determine the measure of the central trend of a time series, you can use the arithmetic mean or median. Both methods have some disadvantages. The arithmetic mean is calculated by the simple moving average indicator. It is sensitive to emissions and noise. The median behaves more steadily, but there is a loss of information at the boundaries of the interval.
In order to reduce these disadvantages, you can use pseudo-median signal filtering. To do this, we take a median of a small length and recursively apply it to all values of the period of the financial time series under study. Thanks to this approach, the indicator allows you to more accurately identify periodic and trend price movements.
In order to reduce these disadvantages, you can use pseudo-median signal filtering. To do this, we take a median of a small length and recursively apply it to all values of the period of the financial time series under study. Thanks to this approach, the indicator allows you to more accurately identify periodic and trend price movements.
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External parameters of the indicator:
External parameters of the indicator:
- IPeriod – the period of the indicator. The higher the value of this parameter, the lower the sensitivity of the indicator to the latest price changes. The minimum value of this parameter is 3;
- MaxBars-the limit of the history depth for the calculation. It may be useful if the indicator will take a long time to run. If MaxBars = 0, then there are no restrictions and the indicator will be applied to the entire chart.
- IPeriod – the period of the indicator. The higher the value of this parameter, the lower the sensitivity of the indicator to the latest price changes. The minimum value of this parameter is 3;
- MaxBars-the limit of the history depth for the calculation. It may be useful if the indicator will take a long time to run. If MaxBars = 0, then there are no restrictions and the indicator will be applied to the entire chart.
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