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Hi Ken –
I thought I sent a reply a couple of days
ago, but it hasn’t shown up in the postings yet. Sorry if this is a
duplicate.
A simple moving average of n bars, gives a
lag of one-half n bars. So, if a signal is two bars early, a four bar
simple moving average will make it two bars later, and on time.
Exponential and Adaptive moving averages
also add delay, and have the advantage of being able to use the
“alpha” parameter to adjust for finer resolution than an integer
number of bars. For an exponential moving average, alpha = 2 / (n +
1). They also have the advantage of being able to adjustable alpha to
current conditions, making the EMA or AMA adaptive.
Thanks,
Howard
-----Original Message-----
From: Ken Close
[mailto:closeks@xxxxxxxx]
Sent: Wednesday,
November 05, 2003<span
> <font
size=2 face=Tahoma>9:10 PM<font
size=2 face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] CMO
Improvements Was: Robustness Challenge
Sure depends on what your tolerance for
dds is. Look at a lot of CMO charts and come back and share how you might
go about “slowin’ down” (without, by the way, killing off the
returns) and I will be all ears.
Hello?
Ken
-----Original Message-----
From: Howard Bandy
[mailto:howardbandy@xxxxxxxxx]
Sent: Wednesday,
November 05, 2003<span
> <font
size=2 face=Tahoma>10:49 PM<font
size=2 face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Cc: howardbandy@xxxxxxxxx
Subject: RE: [amibroker] CMO
Improvements Was: Robustness Challenge
Boy, give me an indicator that is early
anytime. It is very easy to slow them down, very hard to speed them up.
Howard
-----Original Message-----
From: Ken Close
[mailto:closeks@xxxxxxxx]
Sent: Monday,
November 03, 2003<span
> <font
size=2 face=Tahoma>7:29 AM<font
size=2 face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] CMO
Improvements Was: Robustness Challenge
<font size=2
face="Courier New">Joe: LOL (as in Lots of
Luck). I worked with it a lot in the past and
attempted to
reduce drawdowns (the CMOx stuff is usually early in both
the buy and
sell). Not a lot worked in terms of return, but dd can be
reduced --
one approach is moving averages of the CMOx and looking for
crosses of
the average AND the trigger level---not easy because they
occur on
different bars usually.
However,
that said, I do not want to imply it cannot be improved---there
are
countless other ways and perhaps someone can find a way to make ma
crosses work
in conjuction with trigger levels.
Ken
<<<<<SNIP>>>>>>>>>>
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