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UndersampledDoubleMA

Ehlers DSP internal utility

Undersampled price data smoothed by dual Hann filters to eliminate high frequency noise.

Usage

Internal implementation module — not intended as a standalone trading indicator.

Background

This module contains internal utility functions used by other indicators in the library. It is not intended to be used directly as a standalone trading indicator.

Parameters

  • fast_len (default: 6): Fast Hann filter length
  • slow_len (default: 12): Slow Hann filter length
  • sampling_period (default: 5): Undersampling rate (bars)

Formula

[ Sample = \begin{cases} Price & \text{if } t \pmod N = 0 \ Sample_{t-1} & \text{otherwise} \end{cases} ] [ Fast = Hann(Sample, FastLen) ] [ Slow = Hann(Sample, SlowLen) ]

Source