Curve smoothing

marketJunk · January 15th, 2011, 6:46 am

Folks, What are the various ways of smoothing curves once it has been fitted ?

marketJunk · January 15th, 2011, 7:16 am

While researching, I found, perhaps, filters are best way to smooth data. Please correct me if I am wrong.Which are the good filters that can be easily implemented in C++ or VBA ?

frattyquant · January 15th, 2011, 10:09 am

Moving average is the easiest! It's already in the Data analysis toolpack of excel.

marketJunk · January 15th, 2011, 7:08 pm

QuoteOriginally posted by: frattyquantMoving average is the easiest! It's already in the Data analysis toolpack of excel.moving average does not seems to do any good...in fact it is worseing my results !!!!

ExSan · September 20th, 2012, 5:01 pm

FACE - BOOK : market data Curve Smoothing is performed using Fourier Spectral AnalysisDOWNLOAD & INSTALL GNUPLOT --- °Looking for the latest version? Download gp460-win32-setup.exe (9.9 MB)°--- download site --- > https://sourceforge.net/projects/gnuplo ... RUCTIONS:1. Download attached zip file. Extract / execute ExSan_Smooth_Curve_Using_FourierData files (samples included) must be placed in advance in the directory c:\exsan 1 From File Your Data File in c:\exsan Data file ---> FB0 exit // must exit WHEN YOU EXIT THE PROGRAM, explorer will display c:\exsan directoryHighlight and "execute" all files that look like ExSan_Plot_Fourier_Filter_ibm2_xxxx_.....Hit exsan_out (html) to see graphs

purbani · September 25th, 2012, 12:44 am

Singular Spectrum Analysis (SSA) produces a zero lag filter and is easier to apply than Fourier - non-causal though so subject to re-drawing when new information arrives. Can be made causal by taking the end-point or forecast and iterating over some window period. Basic Excel and VBA demo here P.S. the code is a bit of a hack job and still a work in progress.