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Outside of Mark Jurik's excellent products, have you looked at Dema
in Metastock? It is lag adjusted MA to less than Exp MAs. You can set
different values based on the look back period.
Regards,
--- In equismetastock@xxxxxxxxxxxxxxx, "adamp_27" <adamp_27@xxx>
wrote:
>
> --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@> wrote:
> >
>
>
>
> Yes interesting,
>
>
>
> for Preston
>
>
> the code you have provide is Jose technique in coding and it does
> not smooth out the lagging. somehow I just agree with David
>
>
> IMO another fast moving average is Hull Moving Average. I presume
it
> perform faster than jurik
>
>
> here is the link www.tradersexpo.com.au/pdf/hull_moving_average.pdf
>
>
> for David
>
>
> I can understand the way you disagree but please if you have the
RSX
> coding or a better solution post it here, we can discuss it. This
is
> the main fuction of forum sharing and imparting not arguing on
> something. I try to change the nuances of this forum from the
> previous condition that full of useless and blurred objective in
> trading. In here, I am not looking for a figh. I just try to make
up
> something for our benefit
>
>
> regards
>
>
> ADAM
>
>
>
>
>
>
>
>
>
>
>
>
> Ahh, a man after my own heart!
> >
> > So let's consider a variable or weighted zero lag. Maybe
something
> > like this:
> >
> > {Zero Lag VariableMA}
> > Period:= Input("What Period",1,250,10);
> > VMA1:= Mov(C,Period,VAR);
> > VMA2:= Mov(VMA1,Period,VAR);
> > Difference:= VMA1 - VMA2;
> > ZeroLagVMA:= VMA1 + Difference;
> > ZeroLagVMA
> >
> > or
> >
> > {Zero Lag WeightedMA}
> > Period:= Input("What Period",1,250,10);
> > WMA1:= Mov(C,Period,W);
> > WMA2:= Mov(WMA1,Period,W);
> > Difference:= WMA1 - WMA2;
> > ZeroLagWMA:= WMA1 + Difference;
> > ZeroLagWMA
> >
> > or maybe a combination of these.......
> >
> > Interestingly, the metastock help file had this to say about the
> > variable moving average...
> >
> > "A variable moving average is an exponential moving average that
> > automatically adjusts the smoothing constant based on the
> volatility
> > of the data series. The more volatile the data, the larger the
> > smoothing constant used in the moving average calculation. The
> > larger the smoothing constant, the more weight given to the
> current
> > data. The opposite is true for less volatile data.
> > Trader's often associate high volatility with strongly trending
> > markets. However, this is a mistake. Strong trending markets
are
> > often less volatile because of the consistency of day-to-day
price
> > changes. Its when prices are erratic in their day-to-day
> movements
> > (i.e., down a lot, up a little, up a little, up a lot, up a
> little,
> > down a little, etc.), that volatility increases. This can occur
> in
> > uptrending, downtrending, or sideways markets.
> >
> > Typical moving averages suffer from the inability to compensate
> for
> > changes in volatility. During volatile markets, you want a
moving
> > average to increase its sensitivity, so that you will quickly be
> on
> > the correct side of any wild gyrations. By automatically
> adjusting
> > the smoothing constant, a variable moving average is able to
> adjust
> > its sensitivity, allowing it to perform better in both high and
> low
> > volatility markets.
> > VMA = (0.78*(volatility index) * close) + (1-0.078 * volatility
> > index)*yesterday's VMA
> >
> > The absolute value of a 9-period Chande Momentum Oscillator is
> used
> > for the volatility index. The higher this index the more
volatile
> > the market, thereby increasing the sensitivity of the moving
> average.
> > This method of calculating a variable moving average was
presented
> > by Tushar Chande in the March 1992 issue of Technical Analysis of
> > Stocks & Commodities magazine."
> >
> > So it appears that the variable moving average is a great way to
> > introduce volatility into an exponential moving average!
> >
> >
> > Can't wait to see all the interesting combinations that you guys
> > will come up with.
> >
> >
> > Preston
> >
> >
> >
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "David Jennings"
> > <davidjennings@> wrote:
> > >
> > > Preston,
> > > I don't disagree.
> > >
> > > Sadly, Yahoo dropped off the chart that comparing it with some
> > other MAs. One of these was the IR MA which was the sum of the
> EPMA
> > and the IRLS divided by two. Another was the Weighted MA which
has
> > quite good characteristics. Depending on the application, if you
> are
> > looking for a low lag MA (without buying Mark Jurik's excellent
> > products) with minimal overshoot have a look at a volatility
> > weighted adaptive moving average. As in in all things it depends
> on
> > what you are trying to achieve.
> > >
> > > ----- Original Message -----
> > > From: pumrysh
> > > To: equismetastock@xxxxxxxxxxxxxxx
> > > Sent: Thursday, December 21, 2006 8:48 PM
> > > Subject: [EquisMetaStock Group] Re: RSX AND JURIK MOVING
> AVERAGE
> > >
> > >
> > > David,
> > >
> > > Any time you smooth you will introduce lag which in turn will
> > lead
> > > to overshoot. Even so the Zero lag can be a good starting
> point
> > to
> > > develop on. Basically, the indicator uses 2 different moving
> > > averages then adds the difference. There is no reason to
> believe
> > > that we can't use something other than exponential moving
> > averages.
> > > Nor should we think that we have to be stuck with the time
> > frames
> > > that are used. There are literally dozens of ways to design
> the
> > > indicator. Give it a try and see what you come up with.
> > >
> > > Preston
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, "David Jennings"
> > > <davidjennings@> wrote:
> > > >
> > > > When comparing this average to others chosen at random, it
> > seems
> > > to me to have quite a bit of lag and overshoot.
> > > >
> > > >
> > > > DJ
> > >
> > >
> > >
> > >
> > >
> > > [Non-text portions of this message have been removed]
> > >
> >
>
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