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.
從喜愛的腳本中移除 添加到喜愛的腳本
You can check my indicator papers here : https://figshare.com/authors/Alex_Pierrefeu/7339466
nice
+1 回覆
beautiful work
+1 回覆
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