Add Core Feature: Moving Average and Custom Filter module

[summercms]

Enhancement idea

• Add Core Feature: Moving Average and Custom Filter module.
• Add Doc's.

Description

A moving average filter is a simple low-pass filter that smooths out a signal by replacing each data point with the average of the neighbouring data points, defined within a fixed window size. It is commonly used to reduce random noise while preserving the sharp step response of a signal.

Key Properties of Moving Average Filters

• Easy to implement by convolving the input signal with a rectangular pulse of unit area.
• Reduces random noise by a factor equal to the square root of the window size.
• Preserves fast step response, making it suitable for time-domain encoded signals.
• Introduces lag/delay in the output signal, as it is a causal filter.
• Performs poorly for filtering frequency-domain encoded signals due to sub-optimal attenuation.

A custom filter refers to a user-defined digital filter implemented on a hardware platform like an FPGA or microcontroller. Custom filters can be designed and optimized for specific applications, offering more flexibility and performance compared to standard off-the-shelf filters.

Advantages of Custom Filters

• Can be tailored to meet specific requirements, e.g. filter characteristics, resource utilization and real-time performance.
• Allows combining multiple filtering techniques, such as linear (moving average) and nonlinear (median) filters, for effective noise and transient rejection.
• Can be optimized for the target hardware platform, leveraging parallelism and pipelining for high-performance implementations.
• Enables integration with other custom signal processing functions or control systems on the same hardware.

In summary, moving average filters are simple and effective for smoothing time-domain signals, while custom filters offer flexibility and optimization for specific applications, often implemented on hardware platforms like FPGAs or microcontrollers.

This core module can be merged into any trading algorithm code to offer complex Moving Average and Custom Filters calculations.

Links

https://github.com/chartingshow/documentation/blob/master/trading/moving_averages_and_filters.md