Center Of Gravity - COG

The Center of Gravity function originated from a John Ehler's article published in May 2002 in the Stock and Commodities magazine. It was derivated from the Finite Impulse Response Filter formula, which constituted one of Ehler's researches undoubtedly inspired from digital signal processing.

The main goal for COG is not to detect the trend tendency, but rather to identify pivoting points for a given signal by comparing them to their COG function.

While some trading indicators such as SMA and WMA constitute particular cases of Ehler's FIR. (In fact, SMA is an FIR in which all coefficients have the same value and WMA an FIR in which the daily price change is weighted through the filter length). COG may be viewed as the inversed formula of Ehler's FIR in which the prices become the coefficients and the bar differences take the place of prices instead of that of coefficients.

The COG function you can get here is named 'center_of_gravity'. It takes the filter period as a parameter. Its result consists in the division of the sum of the daily prices for N bars back weighted by the bar differences relatively to the current day, by the price sum for the same period.

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