|
PureBytes Links
Trading Reference Links
|
Vitaly, All,
There is a lot that can be done with the ZeroLag indicators. Don't lock yourself into using a simple EMA1:= Mov(P,Period,E); as your base formula. The possibillities are endlesss. Exchanging the Close for a P is a start. What would happen if you used MP() or Typical() instead of the Close? Again, I can't begin to tell you the number of indicators that I have seen evolve from this one formula.
J.
>From: "Vitaly Larichev"
>Reply-To: metastock@xxxxxxxxxxxxx
>To: "Metastock List"
>Subject: Re: Lag In Moving Avg
>Date: Sat, 10 Feb 2001 19:43:09 -0500
>
> > 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"
>; 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"
>To:
>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.
> > >
> >
>
>
>
>
>
>
Get your FREE download of MSN Explorer at http://explorer.msn.com
|