Digital Signal processing in trading ?

Quote from Joe Doaks:

Adaptive first-order FIR filter is hard to beat on any timeframe.

That is what I found as well.

Kalman is getting weired in fast transitions
 
Good libraries of FIRs and some good related tools to tune them are in SciLab. MATLAB is also not bad, but I got used to SciLab.
 
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