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I'll put a couple of charts up in the file section to directly compare these Moving averages.
----- Original Message -----
From: adamp_27
To: equismetastock@xxxxxxxxxxxxxxx
Sent: Friday, December 22, 2006 12:43 AM
Subject: [EquisMetaStock Group] Re: RSX AND JURIK MOVING AVERAGE
--- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxx> 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]
> >
>
[Non-text portions of this message have been removed]
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