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One of the most
interesting combination to filter the lag can be to use the <SPAN
class=626005513-11022001>MACD signals that preceed the
actual crossing of price and MA in both directions and ADX to check a reverse in
trend.
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color=#0000ff>
In any case, ma's and
trendlines (with fibonacci retracements numbers) can give you the the 80% in the
80%-20% paradigm.
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color=#0000ff>
Good
Trading.
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color=#0000ff>
Moshe
Shalom
<FONT face=Tahoma
size=2>-----Original Message-----From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Rakesh
SahgalSent: Monday, February 12, 2001 4:00 AMTo:
metastock@xxxxxxxxxxxxxSubject: Re: Lag In Moving
AvgThe issue of lag brings alongwith it the issue of noise.
To me they seem to be inversely related. I have been using Double EMA (
i.e EMA of EMA) of MP(). To compensate for lag I use short term durations in my
MA crossover system . This allows me to catch a fairly substantial portion of
all major moves in trending markets. The lag may not be addressed here but yes
noise certainly is filtered out and only effective signals are recognised.
One technique that has been talked about here on the forum in the recent
past which while not addressing the issue of lag in MAs' but focusing on
catching turns pretty much near the point of occurence was Bressert's Double
Stochastic. Double EMAs' coupled along with Stochastic of RSI and Double
Stochastics provide reasonably profitable trades. This system has worked quite
effectively for me for quite some time now. I would like to enter a caveat here,
that this works only in trending markets, the focus being on catching major
portions of the trend.So the question to my mind is do we live with a
bit of lag as long as we filter out noise or do we rule out lag and take the
noise along with it. While I know I am digressing from the basic issue of this
particular thread I would like to suggest an approach based on using signals
arising from a combination of these three tools or any other tools that each
individual is comfortable with, as I believe at the end of any discussion we are
looking for a means of making as many profit making trades as possible and
avoiding as many bad trades as is possible.Rakesh
SahgalAt 10:37 AM 02/11/2001 +0000, you wrote:
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 >(<A
href="http://www.digital-web.net/~haferman/plot.html";
eudora="autourl">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
> > <A href="http://www.digital-web.net/~haferman/plot.html";
eudora="autourl">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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