Voss Predictive Filter

Author: Optuma Team Last updated: Jul 24, 2020 04:08

Overview

There are two kinds of delay associated with signal processing filters: These are group delay and phase delay. It is perhaps easiest to understand them by considering a five bar simple moving average. Signals at the output of this moving average are delayed by exactly two bars at all frequencies. That is group delay. If we examine the filter output relative to an input of a cycle having a 20 bar period, the two bar group delay becomes a phase delay that is 10% of the cycle period, or 36 degrees. If we examine the filter output relative to an input cycle having a 10 bar period, the phase delay is 20% of the cycle period, or 72 degrees.

An Exponential Moving Average (EMA) filter, on the other hand, has a large group delay at very long signal periods, reducing to a minimum delay at the highest possible sample frequency (Nyquist frequency). This group delay is nonlinear across the spectrum, making the phase delay even more nonlinear. In signal processing, group delay is used as a measure of signal distortion because signals arrive at the filter output in different phase relationships than existed at the filter input. Parenthetically, since market data is generally noisy with a wide spectral bandwidth, filter group and phase distortions have led to some interesting interpretations of technical indicators.

In general, it is best to minimize group and phase delays in technical indicators because minimization naturally improves indicator robustness in different market conditions. I discovered “a Universal Negative Group Delay Filter for the Prediction of Band-Limited Signals”, which I have renamed the Voss predictive filter. The derivation of the filter is complicated and long, but the filter itself is very simple.

There is a qualification required by the Voss predictive filter that the input signal be band limited. Market data can reasonably be described as having an unlimited bandwidth, and so the Voss predictive filter must be preceded by a band limiting filter to be useful in technical analysis. The simplest filter to use for this application is my two pole bandpass filter.

Because a band limited input signal is a requirement for the Voss filter, a true overall prediction is not possible. But reducing lag is always a good thing for technical analysis.

MASEHLVPF Large

To add the tool to your chart, select the tool from the Ehler tool group, and left-click on the chart to add the tool. Optuma will then draw the tool in a window below the chart using the default settings.

Scripting Function: EHLVPF()

Actions & Properties

Actions

Copy Data to Clipboard: Will copy the tool’s values to the clipboard which can then be inserted into a spreadsheet, for example, allowing for further analysis.

Add to Toolbar: Adds the selected tool to your custom toolbar.

Apply Settings to All: When multiple Voss Predictive Filter tools have been applied to a chart, page or workbook, this action can be used to apply the settings of the one selected to other instances of the tool. This is a great time saver if an adjustment is made to the tool - such as line colour - as this allows all the other Voss Predictive Filter tools in the chart, page or entire workbook to be updated instantly.

Copy Tool: Allows you to copy the selected tool, which can then be pasted onto a different chart window.

Move to Back: If the tool is displaying in front of other tools or indicators clicking this action will move the tool view to the background.

Move to Front: If the tool is displaying behind other tools or indicators on the chart, clicking this action will bring the tool to the forefront.

Restore Default Settings: Click this action if you have adjusted the default settings of the tool, and wish to return to the standard properties originally installed with Optuma.

Save Settings as Default: If you have adjusted any of the tool’s properties (colour, for example) you can save the adjustments as your new default setting. Each time you apply a new Voss Predictive Filter to a chart, the tool will display using the new settings.

Delete: Deletes the tool from the chart.

Properties

Tool Name: Allows you to adjust the name of the tool, as it’s displayed in the Structure Panel.

Period: Adjusts the number of periods used in calculating the tool.

Predict: Coming soon

Filter Plot Style: This option expands to display the following:

Plot Style - Allows you to adjust the display style for the tool. There are 8 options available: Line, Dot, Histogram, Step, Shaded, Shaded Step, Bars, Candles.
Line Style - When the Plot Style is set to Line, Histogram, Step, or Shaded Step, this property allows you to adjust the type of line displayed. There are 8 options available: Solid, Dots, Dash, Dash Dots, Long Dash, Long Dash Dot, Long Dash Dot Dot, Stippled.
Line Width - Allows you to adjust the width of the line for the tool. Moving the slider bar to the right increases the thickness of the line.
Colour Scheme - Allows you to choose between the following colour schemes for the tool: Copy Colours from Price Chart, Single Colour, Positive / Negative, Custom.
Line Colour - When the Colour Scheme is set to Single Colour, this property allows you to adjust the colour of the line. Clicking on the drop down arrow will display a colour swatch. Locate the desired colour and left-click it once to select it.
Positive - When the Colour Scheme is set to Positive/Negative, this property allows you to adjust the colour of the tool when it is above the Positive / Negative Barrier. Clicking on the drop down arrow will display a colour swatch. Locate the desired colour and left-click it once to select it.
Negative - When the Colour Scheme is set to Positive / Negative, this property allows you to adjust the colour of the tool when it is below the Positive / Negative Barrier. Clicking on the drop down arrow will display a colour swatch. Locate the desired colour and left-click it once to select it.
Positive / Negative Barrier - When the Colour Scheme is set to Positive / Negative, this property allows you to adjust the barrier value. The default value is 0.00.
Custom Colour Scripts - When the Colour Scheme is set to Custom, this property allows you to set the colour of the tool according to your scripts. For more information on this, please click here. Clicking on the drop down arrow will display a colour swatch. Locate the desired colour and left-click it once to select it.
Fill Up / Down Barrier - When the Plot Style is set to Shaded, this property allows you to adjust the barrier value. The default value is 0.00.
Fill Up Colour - When the Plot Style is set to Shaded, this property allows you to adjust the fill colour of the tool when it is above the Fill Up / Down Barrier. Clicking on the drop down arrow will display a colour swatch. Locate the desired colour and left-click it once to select it.
Fill Down Colour - When the Plot Style is set to Shaded, this property allows you to adjust the fill colour of the tool when it is below the Fill Up / Down Barrier. Clicking on the drop down arrow will display a colour swatch. Locate the desired colour and left-click it once to select it.
Fill Transparency - When the Plot Style is set to Shaded, use this slider bar to adjust the transparency of the filled portion of the tool. Moving the slider to the left will increase the transparency.
Visible - Un-tick this checkbox to hide the line from the chart.

Voss Plot Style: This option expands to display the properties as shown for the Filter Plot Style.

Equilibrium Line Style: This option expands to display the following:

Line Style - When the Plot Style is set to Line, Histogram, Step, or Shaded Step, this property allows you to adjust the type of line displayed. There are 8 options available: Solid, Dots, Dash, Dash Dots, Long Dash, Long Dash Dot, Long Dash Dot Dot, Stippled.
Line Width - Allows you to adjust the width of the line for the tool. Moving the slider bar to the right increases the thickness of the line.
Line Colour - Allows you to adjust the colour of the line. Clicking on the drop down arrow will display a colour swatch. Locate the desired colour and left-click it once to select it.
Tool Transparency - Use this slider bar to adjust the transparency of the line. Moving the slider to the left will increase the transparency of the line.
Visible - Un-tick this checkbox to hide the line from the chart.

Offset: Moves the tool forward or backward in time. The offset is measured in bars, so a value of 2 will push the tool forward 2 bars and -2 will move the tool back 2 bars.

Tool Transparency: Use this slider bar to adjust the transparency of the tool. Moving the slider to the left will increase the transparency of the tool.

Visible: Un-tick this checkbox to hide the tool from the chart.

Show In Price Scale: When selected, the current Voss Predictive Filter value will be displayed in the Price Scale.