Trend Removal

[gspiker]

Anyone have an HP or other trend removal EFS they would care to share?

Thanks!

Garth

[ckryza]

Garth:

Are you looking for a formula that will remove the trend from a data series (of user-defined length)?

Chris

[gspiker]

Hi Chris,

That is correct. I have written a study that takes the high on a chart and sets that to 100% and the low on a chart and sets that to 0%, then sets all data points relative to those points (in terms of % of course).

This doesn't seem to be the best solution however, so I was hoping for something more robust...

Garth

[dloomis]

Garth

What you are describing sounds an awful lot like a stochastic with a length set to the number of bars on the chart.

[gspiker]

David,


Thanks for the reply...

You are correct that what I have already written would produce similar results to what you are suggesting...and in fact that would have been a faster way to implement the code than what I did.

However, what I am looking for is one of the well known detrenders (like HP filter), as they tend to produce more robust results.

Garth