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PureBytes Links
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You need to check out www.mesasoftware.com
It is JOhn Ehlers site.
Check out the documentation and white papers. There is lots of stuff on dynamic moving averages in which "alpha" is calculated by all sorts of wierd and wonderful methods!
SimonWKRAG@xxxxxxxxxxx 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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