FiniteImpulseResponse(Series,ElementValue,Double[]) Method
Calculates a Finite Impulse Response Filter.
Syntax
'Declaration Public Overloads Shared Function FiniteImpulseResponse( _ ByVal s As Series, _ ByVal elementValue As ElementValue, _ ByVal weights() As Double _ ) As Series
'Usage Dim s As Series Dim elementValue As ElementValue Dim weights() As Double Dim value As Series value = FinancialEngine.FiniteImpulseResponse(s, elementValue, weights)
public static Series FiniteImpulseResponse( Series s, ElementValue elementValue, double[] weights )
Parameters
- s
- The financial series where the first element is the traded price on the most recent period, the second element is the traded price of the previous periods and so on, for the asset under consideration.
- elementValue
- Specifies the particular element value (for example High, Low, Close or Open of the financial time series) which will be considered within this indicator evaluation. In particular, if you wish to use the element value high then you should pass the parameter High. In a similarly fashion if you wish to use the low, close or open, then you should pass the parameter Low, Close, Open, respectively.
- weights
- A double array which represent the different weights associated with the given prices.
Return Value
A series where the first element is the FIR of the asset on the most recent period considered, the second term is the FIR on the period before that and so on.
Exceptions
| Exception | Description |
|---|---|
| System.ArgumentException | Thrown if the length of the given series, s, is less than the length of weights double array or if any elements of the s is strictly negative. |
Remarks
This is a type of smoothing filter that assigns different weights to prices from the past.
Evaluation
The FIR indicator is evaluated by the following formula:
FIR = ((historicalValues[i]*weights[0]) + historicalValues[i-1]*wights[1] + ...)/(Sum of weights)
Requirements
Target Platforms: Windows 7, Windows Vista SP1 or later, Windows XP SP3, Windows Server 2008 (Server Core not supported), Windows Server 2008 R2 (Server Core supported with SP1 or later), Windows Server 2003 SP2
See Also