|
PureBytes Links
Trading Reference Links
|
Manuel Barquin - Madrid
E-mail: mbarquin@xxxxxxxxxxxx
-----------------------------------------------------
----- Original Message -----
From: Andreas Grau <agrau@xxxxxxxxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Sunday, February 11, 2001 9:29 PM
Subject: AW: Lag In Moving Avg
>
> I don't know what the HP stand for, I just took the name from the
following article:
> http://research.mpls.frb.fed.us/research/economists/ecpproj.html
> I found that many people are using the Kalman filter to smoothen data. I
simply translated the Fortran source code and into VBA for
> Excel.
>
> There is e.g. a research paper on the net that shows how to predict S&P
turning points using Hidden Markov Models based on Kalman
> smoothed data. To me there is too much math and too little magic in all
this, however I liked how narrow Kalman follows the input
> data.
>
> Still I have no clue how to trade this. I just figured that if Kalman
shows a change in trend (although some periods late) this
> trend change is valid. Backtesting this simple assumption, however, didn't
proof so far. Especially the smoothing factor makes a big
> difference.
>
> If you want to play with this XL sheet on your own data, simply cut n'
paste O,H,L,C into columns C to F (all other rows are ignored
> by the routine). Then check if you can live with the mean price
calculation (O+H+L+C)/4 or if you want Kalman to work on other
> input like C only, or a weighted price like (2*C+H+L)/4. Finally adjust
the formula range for djinHPfilter. Voila. You can now
> export the data, show them in a diagram, ...
>
> Hope this helps. If not: Just yell!
>
> Andreas
> > -----Ursprüngliche Nachricht-----
> > Von: owner-metastock@xxxxxxxxxxxxx
> > [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von Lionel Issen
> > Gesendet am: Sonntag, 11. Februar 2001 17:39
> > An: metastock@xxxxxxxxxxxxx
> > Betreff: Re: Lag In Moving Avg
> >
> > What does HP-filter mean?
> >
> > Can you post a few more instructions to use this for other securities?
> >
> > In your case does "agent-provocateur" translate as "friendly
neighborhood
> > agitator"? :)
> >
> > Thanks for your posting.
> > Lionel Issen
> > lissen@xxxxxxxxx
> > ----- Original Message -----
> > From: "Andreas Grau" <agrau@xxxxxxxxxxxxxxxxxxxx>
> > To: <metastock@xxxxxxxxxxxxx>
> > Sent: Sunday, February 11, 2001 1:53 AM
> > Subject: AW: Lag In Moving Avg
> >
> >
> > List:
> >
> > I don't know if Jeff is still using the Kalman filter for his graph. If
so,
> > my translation of this filter available here:
> > www.agent-provocateur.de/hpfilter.xls for the VBA-Code (sorry, no
graphing),
> > and
> > www.agent-provocateur.de/hpfilter.pdf for the original explanation
> >
> > The VBA-routines returns an array of data. Formula input differs
therefore a
> > bit from the usual Excel way:
> >
> > - Mark the return array to receive the resulting data
> >
> > - enter the formula "=djinhpfilter($H$2:$H$261;$J$1)", where in this
example
> > "$H$2:$H$261" is the input array and "$J$1" is the
> > smoothing factor
> >
> > - hit Shift-Ctrl-Return.
> >
> > If you did it right, the formula will be surrounded by { and } and
copied to
> > the whole return array.
> >
> > One word of caution: Kalman is not averaging, but smoothing data.
> > Especially, it goes both directions through the input data, with
> > the result, that the last few Kalman smoothed data may change as new
input
> > values are added. In some respect, Kalman has to be
> > treated with the same caution as the Zig-Zag-Indicator.
> >
> >
> >
> > Good luck,
> >
> > Andreas
> >
> >
> > > -----Ursprüngliche Nachricht-----
> > > Von: owner-metastock@xxxxxxxxxxxxx
> > > [mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von
> > > wooglin.org@xxxxxxxxxxx
> > > Gesendet am: Sonntag, 11. Februar 2001 01:17
> > > An: metastock@xxxxxxxxxxxxx
> > > Betreff: Re: Lag In Moving Avg
> > >
> > > Jeff:
> > >
> > > What I saw on the site was very interesting.
> > >
> > > Is it possible to plot this non-linear trend line in MetaStock and, if
so,
> > > would you share the formula? If it is not possible for MetaStock, can
it
> > be
> > > done in Excel and, if so, would you share the code?
> > >
> > > Thanks.
> > >
> > > And to others who responded, the input was clear and concise. A real
> > > tribute to the talent that is on the list. Thanks,
> > >
> > > Jim Barone
> > >
> > > ----- 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.
> > > > >
> > >
> >
> >
>
>
|