Savitzky-Golay Filter (SGF)

Category: trend

A smoothing filter that uses local polynomial regression to reduce noise while preserving high-frequency signal features like peaks and valleys better than standard moving averages.

Formula

Y_j = \sum_{i = -m}^{m} \frac{C_i X_{j+i}}{N} \text{ where } C_i \text{ are polynomial coefficients based on least-squares fit.}

Inputs

• i_window (default: 21)
• i_order (default: 2)
• i_source (default: close)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.