Short Term Trading Member Forum

[techcharter]

SPX Bandpass Filter Output

I noticed something really strange about this bandpass filter output of the SPX. The period is about 37.5 days. Note how the amplitude of the peak is significantly greater than the amplitude of the trough. I'll need more time to think about why it happens and what it means.

The most recent data is at the top of the list. When plotting in Excel, format the axis for reverse order.

-0.15050142
-0.191377527
-0.224021658
-0.244524101
-0.25610273
-0.257541519
-0.250234653
-0.233207116
-0.208346418
-0.17552297
-0.133742531
-0.084929603
-0.026639043
0.034618278
0.098993074
0.163796668
0.223500386
0.280433544
0.32765137
0.367456379
0.400752456
0.425051447
0.441178631
0.448716929
0.444311107
0.431332062
0.405920702
0.372464776
0.330511189
0.285173326
0.234851861
0.180074357
0.118197412
0.054960465
-0.009890228
-0.06996059
-0.12575219
-0.175023193
-0.216265413
-0.248520181
-0.268132429
-0.278522807
-0.280764957
-0.2729104
-0.255421553
-0.229790831
-0.195345695
-0.15204071
-0.102816915
-0.04868868
0.009601256
0.067324198
0.124346578
0.179957282
0.234005896
0.283114708
0.326999996
0.365145996
0.397640106
0.42170357
0.434415864
0.437154134
0.428587783
0.409291839
0.383369733
0.348695541
0.30412274
0.255734439
0.203766601
0.14530221
0.083117299
0.021049714
-0.040834274
-0.099521805
-0.151145013
-0.19488528
-0.230427838
-0.257354733
-0.274465929
-0.278178974
-0.270387398
-0.253199475
-0.226145021
-0.190239578
-0.145243783
-0.093002125
-0.034199641
0.028088503
0.095502527
0.162776813
0.228537967
0.29193151
0.350520992
0.398586237
0.436795482
0.464146632
0.481533183
0.486481757
0.480287932
0.462768723
0.434503041