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Werner,
It must be possible to change the fixed length in
relation with the volatility.
But I don't now an experienced
formula.
Greetings
Paul
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----- Original Message -----
<DIV
>From:
<A title=WKRAG@xxxxxxxxxxx
href="">WKRAG@xxxxxxxxxxx
To: <A
title=equismetastock@xxxxxxxxxxxxxxx
href="">equismetastock@xxxxxxxxxxxxxxx
Sent: Friday, February 20, 2004 8:17
PM
Subject: [EquisMetaStock Group] Lookback
Length
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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