Class FilteredCompressor

Namespace

Balsam.Compression

Assembly

Balsam.Backtester.dll

Removes bars where change vs prior bar doesn't meet minimum number of standard deviations. See https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2260609

public class FilteredCompressor : CompressionProvider, ICompressionProvider

Inheritance

object

CompressionProvider

FilteredCompressor

Implements

ICompressionProvider

Inherited Members

CompressionProvider.IncludePartialPeriod

CompressionProvider.GetDefaultCompressor(ISeries)

CompressionProvider.Compress(ISeries)

CompressionProvider.Compress(ISeries, ICompressor)

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Extension Methods

Excel.ExportToExcel(object)

Clipboard.CopyToClipboard(object)

Properties

Length

Gets/sets the length of the rolling window.

public int Length { get; set; }

Property Value

int

Threshold

Gets/sets the standard deviation threshold.

public double Threshold { get; set; }

Property Value

double

Methods

Compress(BarSeries)

Compresses the specified bar series.

public BarSeries Compress(BarSeries series)

Parameters

series BarSeries

Returns

BarSeries

OnCompress(ISeries, ICompressor)

Compresses the specified series.

protected override ISeries OnCompress(ISeries series, ICompressor compressor)

Parameters

series ISeries

compressor ICompressor

Returns

ISeries