Digital Signal processing in trading ?

Discussion in 'Strategy Building' started by jacksmith, Feb 23, 2009.

  1. Joe Doaks

    Joe Doaks

    Adaptive first-order FIR filter is hard to beat on any timeframe.
     
    #21     Feb 26, 2009
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  2. MAESTRO

    MAESTRO

    That is what I found as well.

    Kalman is getting weired in fast transitions
     
    #22     Feb 26, 2009
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  3. MAESTRO

    MAESTRO

    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.
     
    #23     Feb 26, 2009
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