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HPotter
Mar 15, 2017 11:36 PM

D_DSP (Detrended Synthetic Price) Strategy Backtest 

E-mini S&P 500 FuturesCME

描述

Detrended Synthetic Price is a function that is in phase with the
dominant cycle of real price data. This DSP is computed by subtracting
a half-cycle exponential moving average (EMA) from the quarter cycle
exponential moving average.
See "MESA and Trading Market Cycles" by John Ehlers pages 64 - 70.
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