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Good day,
it has always bothered me to use a "fixed length" for Moving
Averages. I find lots of discussions on why a 10-day, 20-day or
whatever day, Moving Average (simple, variable, exponential etc.) is
best (or not best). In my opinion there is NO "best" lookback period
for the moving averages. Sometimes the short ones work well (in
choppy markets), sometimes the long ones work well (in trending
markets). BUT...
Can we go beyond this profane conclusion?
Is there any way (or at least idea) on how to choose a better method
to select the lookback period?
I was thinking of this: If the Average True Range (ATR) is high,
select a shorter period, this way you quickly adapt to large moves
without overshoot.
If the ATR is low, select a longer period to avoiid getting whipsawed.
BUT, I still need to make that arbitrary decision on the lookback
length. Any better (or more rational) way?
Ideas welcome!
Werner
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