Re: Lag In Moving Avg

[wooglin.org@xxxxxxxxxxx]

Jeff:

What I saw on the site was very interesting.

Is it possible to plot this non-linear trend line in MetaStock and, if so,
would you share the formula? If it is not possible for MetaStock, can it be
done in Excel and, if so, would you share the code?

Thanks.

 And to others who responded, the input was clear and concise. A real
tribute to the talent that is on the list. Thanks,

Jim Barone

----- Original Message -----
From: Jeff Haferman <haferman@xxxxxxxxxxxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Saturday, February 10, 2001 4:52 PM
Subject: Re: Lag In Moving Avg


>
> Bob Webb is exactly right, and said it very well.  It's
> not possible to remove the lag from a moving average.
>
> It is possible to draw a non-linear trendline through
> a time series, and this will give you an idea of
> the current trend.  Such a trendline doesn't appear
> to the eye to have the lag associated with an MA.
>
> For example, try my "plot" page at
> http://www.digital-web.net/~haferman/plot.html
>
> Enter any U.S. equity symbol, wait about 10 seconds,
> and you'll get a plot back with a best-fit non-linear
> trendline.
>
> Jeff
>
>
> Bob Webb wrote:
> >
> >Jim,
> >
> >I think I know what you mean by the question, but when you think about
it,
> >it is not possible. A "moving average of X periods" is, by its very
> >definition, an average of X number of previous prices (O,H,L,C) or some
> >other value (e.g., see the use of m.a. in the MACD). If price (e.g.,
Close)
> >is reversing from being in an upward trend to moving lower, then it will
> >take a certain number of Closes, before the moving average of X periods
> >will begin to also reverse direction. Thus, a moving average is, by very
> >definition, a lagging indicator.
> >
> >There are, however, two ways (and perhaps more) to decrease (but not
> >remove) the lag in a moving average:
> >
> >(1) make the "X" in a "moving average of X periods" a smaller number.
Thus
> >it will take a fewer number of lower Close values to turn the moving
> >average around.
> >
> >(2) give greater weight to the most recent X values and lesser weight to
> >the older X values. This is accomplished by using a weighted or
exponential
> >moving average.
> >
> >The danger, however with using either of these above methods (or a
> >combination of both), is that you will have a greater number of whipsaws.
> >
> >In conclusion: a moving average is, by definition, a lagging indicator.
> >There are other indicators that are anticipatory, but not the m.a.
> >
> >Hope this helps.
> >
> >Bob.
> >