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Ross,
Could you elaborate on your point re. "Stationarity". Please correct me if
I understand you incorrectly.
Are you suggesting by your statement re. stationarity that past behavior is
not replicated in the markets? The phenomena of greed and fear are not
recognisable using conventional tools like the kinds that are used by most
people? If so, then what are the tools that one should be using to analyse
the markets?
Regards
Rakesh Sahgal
At 09:30 AM 02/11/2001 -0500, you wrote:
>The specific statement that the lag in a moving average can't be removed is
>correct; but the statement is misleading. Moving averages are just a type
>of filter. We are attempting to filter out the unwanted parts (non-trend
>information) while leaving in the desired parts (predictive trend
>information). The original article by Patrick Mulloy article in the January
>1994 issue of Technical Analysis of Stocks & Commodities magazine on TEMA
>and DEMA described this better that I can. My background is Electrical
>Engineering, so I know just enough to be dangerous about filters. Moving
>averages, Jurik's methods, John Ehler's MESA, Butterworth filters, Kalman
>filters and others are all attempts to filter out the unwanted from the
>desirable.
>
>The problem when you advance past moving averages isn't lag. The real
>problem is "stationarity", how accurate are past data points at predicting
>future data points? This is the common problem that we have all seen: even
>if we find a perfect moving average with the perfect time period on past
>data, how good will it be at predicting future data? So even if you find a
>moving average or other filtering method that "has no lag", it doesn't mean
>that you can forecast the future. Markets do not have "stationarity".
>
>With apologies to Elliot Wave, Gann and other followers of their methods
>(who seem to believe that markets do have stationarity).
>
>
>Ross Kovacs
>
>rossrk@xxxxxxxxxxxxxx
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