QuoteDislikedIn your first post you mentioned that your goal was to null out the cycle and be left with the trend. So when you say a lag of 4 bars is too much, it sounds like you are talking about a systematic phase shift. If the approach is to generate a sinewave equivalent to the cycle and subtract it from the data, that can readily be done without any phase shift. But you would have to wait for enough of the wave to appear to be sure it was a cycle. Additionally, your period estimate would have to be extremely accurate, or the inaccuracy of the period will...
QuoteDislikedI use a lag-free LPF to detrend data as a preparatory step to cycle detection. But data points at the far right edge of the chart are necessarily only approximations. In my work, the error this introduces is insignificant. The cycles extracted in this way are free of phase shift. But you are not going to see instant results, it takes a few turns of the cycle at least to get reasonable estimates of period, amplitude and phase.
QuoteDislikedAnother point is that the SNR of market data is low at the best of times. If your method cannot stand up to 4 bars of lag, it sounds like it would also be overly sensitive to noise in the data.
If 8 bars of lag is acceptable for you wavelets are a good and fast solution.
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