The NonLinear Filter was created by John Ehlers and this one of his more unknown filters that work very well as a trendline and moving average. This is one of my favorites along with the instantenous trendlines that he created. Buy when the line turns green and sell when it turns red.
Let me know if there are any other indicators you would like to see me publish...
The Garch (General Autoregressive Conditional Heteroskedasticity) model is a non-linear time series model that uses past data to forecast future variance.
The Garch (1,1) formula is:
Garch = (gamma * Long Run Variance) + (alpha * Squared Lagged Returns) + (beta * Lagged Variance)
The gamma, alpha, and beta values are all weights used in the Garch calculations....