of S&C, p.57, "Smoothing Techniques for More Accurate Signals", by Tim Tillson.
This indicator plots presented in Figure 4 in the article.
T3 indicator is a moving average which is calculated according to formula:
T3(n) = GD ( GD ( GD (n))),
where GD - generalized ( ) and calculating according to this:
GD (n,v) = (n) * (1+v)-EMA( (n)) * v,
where "v" is factor, which determines how hot the moving average’s response
to linear trends will be. The author advises to use v=0.7.
When v = 0, GD = , and when v = 1, GD = . In between, GD is a less aggressive
version of . By using a value for v less than1, trader cure the multiple
overshoot problem but at the cost of accepting some additional phase delay.
In filter theory terminology, T3 is a six-pole nonlinear Kalman filter. Kalman
filters are ones that use the error — in this case, (time series - (n)) —
to correct themselves. In the realm of , these are called adaptive
moving averages; they track the time series more aggres-sively when it is making large
moves. Tim Tillson is a software project manager at Hewlett-Packard, with degrees in
mathematics and computer science. He has privately traded options and equities for 15 years.
- This script to change bars colors.