Description
The Recursive Median Filter is a non-linear data processing technique. When applied to waveform-like input data, it ignores value spikes without averaging them. Being a recursive method, the filter references its own previous values in the calculation; a similar mechanism is used in the Exponential Moving Average study. The main purpose of the filter is to pass data with wavelengths shorter than a critical period and to eliminate data with longer wavelengths. You can specify a custom critical period in the input parameters; by default, it is set to 12 bars.
Essentialy, the Recursive Median Filter is the exponential moving average of the median close price. The smoothing factor is calculated based on a trigonometrical formula that uses the critical period of the filter as the argument.
Input Parameters
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Parameter |
Description |
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The critical period of the filter. Data with wavelengths shorter than this will be passed, longer wavelengths will be eliminated. |
Plots
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Plot |
Description |
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The data output by the Recursive Median Filter. |
Further Reading
1. Technical Analysis of Stocks and Commodities, March 2018.
Example*
*For illustrative purposes only. Not a recommendation of a specific security or investment strategy.