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> Bob Webb is exactly right, and said it very well. It's
> not possible to remove the lag from a moving average.
I concur with it. An improvement still available here is to dynamically
change the period in MA; MS syntax doesn't allow it :-( . For instance,
considering that the tops are accompanied by high volatility, one can
make a formula for MA with the period inversely varying with the
volatility, or ,say, ROC for that matter. In fact, the following formula
posted on the list is built on this idea, though implicitly:
{From Metastock List of Wed, 03 May 2000 14:07:04 GMT From: "j seed"
<jseed_10@xxxxxxxxxxx>; I changed Close to P}
Period:= Input("What Period",1,250,10);
EMA1:= Mov(P,Period,E);
EMA2:= Mov(EMA1,Period,E);
Difference:= EMA1 - EMA2;
ZeroLagEMA:= EMA1 + Difference;
ZeroLagEMA
I like it, I use it. To smooth it out further, one may apply it twice with
smaller period for the second.
But again, you cannot make the lag zero!
All said, I was impressed by Jeff's trendline
(http://www.digital-web.net/~haferman/plot.html). Very good, indeed!
Jeff, can you expand a bit what's it - "non-linear trendline"? If it doesn't
sound too nosy, of course :-) .
Cheers, Vitaly
----- 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.
> >
>
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