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[EquisMetaStock Group] Re: Lookback Length



PureBytes Links

Trading Reference Links

Werner, you may want to take a peak at the dynamic indicators in
http://users.bigpond.com/prominex/pegasus.htm#metastock

In particular, "Dynamic Mom Index", "EMA-RSI", "EMA-Volume" and 
"EMA-Volatility".  If there is enough demand, I'll code a 
variable-period EMA based on ATR volatility.

jose '-)


--- In equismetastock@xxxxxxxxxxxxxxx, WKRAG@xxxx wrote:
> Good day, 
> 
> it has always bothered me to use a "fixed length" for Moving 
> Averages or just about any other indicator.
> I find lots of discussions on why a 10-day, 20-day or whatever day, 
> Indicator is the best (or not best). In my opinion there is NO 
"best" 
> lookback period. 
> What I am looking for is some kind of DYNAMIC ADAPTATION. 
> Sometimes the short ones work well (in choppy markets), sometimes 
the 
> long ones work well (in trending markets). 
> BUT... 
> Can we go beyond this profane conclusion? 
> 
> Is there any way (or at least idea) on how to choose a better method 
> to select the lookback period? 
> I was thinking of this: If the Average True Range (ATR) is high, 
> select a shorter period, this way you quickly adapt to large moves 
> without overshoot. 
> 
> If the ATR is low, select a longer period to avoiid getting 
> whipsawed. 
> 
> BUT, I still need to make that arbitrary decision on the lookback 
> length. Any better (or more rational) way for DYNAMIC ADAPTATION? 
> 
> WErner



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