From Mladen Rakic:

Some of the digital filters in one place :

Hanning
Hamming
Blackman
Blackman / Harris
And (simply in order to demonstrate that almost anything can be a digital filter) :

rectangular - simple moving average
linear weighted moving average
triangular moving average





Recommendations:
Use it as any other moving average

From Mladen Rakic:

This is a variation of a digital filter using Hann windowing for filtering

with "speed up" factor set to 0, it is the same as original filter
any speed up factor > 0 makes it a bit more responsive

The difference between the default (the green/red line) and the same period but with "speed up" factor set to 5
Recommendations:
*Use it as any digital filter / average
*When using speed up factor, the greater the speed up factor the "faster" the filter will be but you might lose the smoothness. Some balance in this has to be found by experimenting with the speed up factor

Dear mrtools,

Is there any plan to post more digital filters for MT5?

xpf2003 wrote: Tue Jun 06, 2023 9:57 pm Dear mrtools,

Is there any plan to post more digital filters for MT5?

Just looked into the code from the first post and I can see that one indicator has all filters in it. Great job.

FTLM

FTLM - Fast Trend Line Momentum
STLM - Slow Trend Line Momentum

(FTLM and STLM show rate of changing (falls or growing) of FATL and SATL calculated similarly with Momentum indicator
but using smoothing as a result of filtrations of the price)

Please put both files "FTLM Candle.mq5" and "FTLM.mq5" in the same directory because "FTLM Candle.mq5" is calling "FTLM.mq5".

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And put "SmoothAlgorithms.mqh" in the MQL5 > Include folder

Also, watch the divergences.

For STLM, please go over here:
post1295383612.html#p1295383612

Range Bound Channel Index

RBCI = Range Bound Channel Index

Range Bound Channel Index is an overall sum of all main market cycles.
Range filter parameters are selected from the current market spectrum.
In simplified formula RBCI (k) = FATL (k)-SATL (k).
RBCI is a quasi-stationary process that is a process with bound spectrum.
When RBCI approaches its local maximum the prices approach the upper border of the trading channel and
when RBCI approaches its local minimum the prices approach the lower border of the trading channel.

Please put both files "RBCI Candle.mq5" and "RBCI.mq5" in the same directory because "RBCI Candle.mq5" is calling "RBCI.mq5".

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And put "SmoothAlgorithms.mqh" in the MQL5 > Include folder

Also, watch the divergences.

FATL - Fast Adaptive Trend Line

date: 2002

The FATL (Fast Adaptive Trend Line) indicator is an estimate of the short-term trend line.
The parameters of the digital low-pass filter are selected based on the current spectrum of a specific market.

What is FATL?
FATL (Fast Adaptive Trend Line) is calculated using low frequency digital filter (FLF-1).

FLF-1 filter is necessary for high frequency noises suppression and reduction of market cycles with a very short volatility periods that can also be considered as a noise.

Filters of low frequency FLF-1 and FLF-2 provide attenuation in the stop band with no less than 40 dB and absolutely don’t distort the amplitude and phase of entry discontinuous price series in the pass band (bandwidth). These properties of the digital filters provide significantly improved (in comparison with simple moving average) noise suppression that in its turn allows reducing sharply the probability of appearance "false" signals for buy and sell.

There are no analogues to FATL among widely known technical instruments. It is not a moving "average", but just the adaptive lines estimates of the short-term trends. Unlike moving "average", FATL has no any phase delay with regard to current prices.

SATL - Slow Adaptive Trend Line

The SATL indicator, or Slow Adaptive Trend Line, is a digital signal filter that indicates the direction of a general trend. A growing SATL line indicates an uptrend, while a falling SATL line indicates a downtrend. A local minimum SATL line is considered the reversal of a bearish trend, while a local maximum SATL line is considered the reversal of a bull trend. A horizontal SATL line indicates a neutral trend.

The SATL indicator is built on the basis of a low-frequency digital trend filter of a different order than the FATL indicator, which is built on the basis of a low-frequency digital trend filter.

SATL (Slow Adaptive Trend Line): analogous to the classic long moving average, for which a second-order digital low-pass filter is used. The SATL value is the mathematical expectation of a FATL value with the same period.

What is SATL?
Slow Adaptive Trend Line (SATL) is formed with the digital filter of the low frequency FLF-2.

Filter FLF-2 serves to suppress noises and market cycles with longer periods of oscillation. Filters of low frequency FLF-1 and FLF-2 provide attenuation in the stop band with no less than 40 dB and absolutely don’t distort the amplitude and phase of entry discontinuous price series in the pass band (bandwidth).

These properties of the digital filters provide significantly improved (in comparison with simple moving average) noise suppression that in its turn allows reducing sharply the probability of appearance of "false" signals for purchase and sell.

There are no analogues to SATL among widely known technical instruments. This is not a moving "average", but just the adaptive line estimate of a long-term trend.

Unlike moving average, SATL has no any phase delay with regard to current prices.

Use this as a short-term trend.

RFTL = Reference Fast Trend Line


Reference Fast Trend Line (RFTL) is a response of FLF-1 and FLF-2 digital filters to the input discrete sequence. This response is set with the delay equal to the Nyquist TNi range.

RFTL reference line is an equivalent of simple moving "averages" from the viewpoint of their delay relative to the current prices. Mentioned similarity would have been complete, in case we use an impulse parameter having 1/N weights that corresponds to the procedure of the dotted moving smoothing instead of the complicated FLF impulse parameters.

RSTL = Reference Slow Trend Line

RSTL (Reference Slow Trend Line) is a response "slow" trend line. It is a response of FLF-1 and FLF-2 digital filters to the input discrete sequence. The filters are set with the delay equal to the Nyquist TNi range.

RSTL reference line is an equivalent of simple moving "averages" from the viewpoint of their delay relative to the current prices. Mentioned similarity would have been complete, in case we use an impulse parameter having 1/N weights that corresponds to the procedure of the dotted moving smoothing instead of the complicated FLF impulse parameters.

It's a big cycle like the one in the image below.
If a candle is above the line, go long.
Vice versa for short.