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Hi Jeff,
Hunter once suggested applying a PID control algorithm to the EMA [which
he adored].
I planned to implement it [any time now] but forgo all rights :).
Bob
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Jeff Haferman
> Sent: Saturday, February 10, 2001 1:53 PM
> To: metastock@xxxxxxxxxxxxx
> 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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