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Closed Palladium with loss -1.3k Account Value 178k

Opened long UsdChf @ 0.9377 Account Value 175k

Opened short EurUsd @ 1.2979 Opened long Platinum @ 1640 Account Value 183k

Opened short EurJpy @ 101.48 Account Value 182k

Closed long Oil with loss -5k Opened long Palladium @ 674.30 Account Value 182k

Opened long Copper @ 3.7903 Account Value 189k

Closed short Rice with loss -3.8k Closed short EurUsd with loss -4.4k Closed short EurJpy with profit +3k Closed long UsdChf with loss -2.8k Opened long Nikkei @ 9185 Account Value 192k

I replaced sma260 with this and results are pathetic.

So, as a programmer, you cannot answer whether my code is correct?

JCL, you stated many times in other threads that this low pass filter is better than SMA. I'm using SMA at the moment, but I would love to see something better. So far, low pass filter is not any better than SMA, so I'm asking you to prove me wrong. Is my java code correct?

That's the experience I have so far. But JCL swears by his low pass filter, so I'm trying to see if it's me doing something wrong, or is it... well, not sure what. I'm just keeping open mind, letting others to prove me wrong.

Let's keep this thread on track - I'm trying hard to see advantage of JCL's low pass filter over SMA, first.

Ok, let's forget excel for now. Below is code in Java (for some reason I can't post code on this forum). Length is 1000, Index is an iterator set to last bar. LowPass 0 and LowPass 1 are filled with price, rest is calculated. Last item in LP array is returned as LowPass value for last bar...

Now, this is probably the most interesting post in this thread.

Ok, we getting somewhere with this thread, but it's painfully slow. I asked in the first post if I calculate LP correctly. Formula from the spreadsheet can be seen in the picture.

Yes, SMA is a low pass filter too. That's I'm looking to replace SMA with filter posted by jcl, but so far I can't see any advantage.

Whether SMA or LP is a trading system or not, is another story. JCL claims that low pass is much more effective than SMA and that's what I'm trying to establish in this thread. Thanks for suggestions about read up.

I'm trying to compare effectiveness of simple moving average with low pass filter suggested by jcl. Code for his low pass filter: var smoothF(int period) { return 2./(period+1); } var LowPass(var *Data,int Period) { var* LP = series(*Data,3); var a = smoothF(Period); var a2 = a*a...

What period? I've tested silver since 2010/05/25 and both sma and low pass make no significant profit.

The chart I posted before was daily sp500 (sma 260 vs low pass filter). Below is daily silver, sma260 vs low pass. Virtually the same. Can you show a market that low pass 1000 is significantly better than sma260 on daily chart?