Class ElliottOnlineFilter


  • public class ElliottOnlineFilter
    extends Elliott2005DLM
    It is important to note that this algorithm does not guarantee that
    • A > 0
    • 0 < B < 1
    Therefore, we need to check the outputs. When the conditions are not satisfied, pairs trading should not apply to the observations set. We may instead try the SSOfflineSmoother algorithm.