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There are all kinds of moving averages. Each one has good points and
bad points. None of them work perfectly in all conditions. The better
ones come through at around a 50% hit rate in a definitely trending
market and much less than that when the market is not in a definitive
trend. It's the market conditions that determine the value of an MA,
not really the MA itself.
If the lag is removed then there are more whipsaws. If the whipsaws
are dampened, then the moving average is later to the party. There is
only so much information that can be extracted from price and volume
data no matter how many ways it is tortured, twisted and manipulated.
No matter what information comes out of rendition, it only has a small
amount of predictive value.
Most people fail to test variable moving averages and volume adjusted
moving averages as part of their formula's. Those often work well in
combination with one or two other indicators.
I sometimes use Kaufman's Adaptive Moving Average. Kaufman recommends
using it with a filter. I think this is the code for both of them.
This version of Kaufman is based on Roy's no prev version.
Periods:=Input("Time Periods",1,1000, 21);
Direction := CLOSE - Ref(CLOSE,-periods);
Volatility := Sum(Abs(ROC(CLOSE,1,$)),periods);
Volatility:=Volatility+(Volatility=0);
ER := Abs(Direction/Volatility);
FastSC := 2/(2 + 1);
SlowSC := 2/(30 + 1);
SSC := ER * (FastSC - SlowSC) + SlowSC;
Constant := Pwr(SSC,2);
AMA:=ExtFml("Forum.MOV",C,(2/Constant-.5),E);
AMA
Here's the filter code with a buy signal. You can adjust the filter.
Look up Kaufman on the web and you'll find an explanation of how these
work.
FilterPercent :=30/100;
Filter := FilterPercent * Std(AMA - Ref(AMA,-1),Periods);
AMALow:=If(AMA<Ref(AMA,-1),AMA,ValueWhen(1,AMA<Ref(AMA,-1),AMA));
AMAHigh:=If(AMA>Ref(AMA,-1),AMA,ValueWhen(1,AMA>Ref(AMA,-1),AMA));
If(AMA - AMALow > Filter, 1 {Buy Signal},If(AMAHigh - AMA > Filter, -
1 {Sell Signal}, 0 {No_Signal}));
There's the Tilson MA T3 etc. MAMA FAMA from Ehlers. Jurik's. Triple
Golden MA's. Displaced MA's. Hull MA's. etc. Don't forget Guppy and
the vapor trail MA's. They look pretty on a chart.
Whatever works for you.
Super
--- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxx> wrote:
>
> Hi Pat,
>
> The problem with any moving average is the lag that is introduced when
> you begin manipulating them. So the question then is are you really
> improving them? There is a formula out there that was discussed several
> years ago at:
> http://finance.groups.yahoo.com/group/equismetastock/message/23694
>
> I'm not aware of any that restrict the advance/decline by a percentage
> or points...seems that would defeat their purpose.
>
> Another thought is an adaptive moving average which is set to a small
> lookback period at the beginning of a trend then adjust to longer
> lookbacks as the trend progresses based on an indicator value. There
> are DLL's in the files section that will help you with this task.
>
> Preston
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Patrick Butler" <pat494@>
> wrote:
> >
> > Hi,
> > Our old friends moving averages do a good job and are generally
> useful. However to improve them and their forecasting ability, is it
> possible to negate their larger than normal swings up and down ? A
> spike of more than X points or a percentage perhaps ? Perhaps there is
> a formula already out there somewhere ? Jurik may have done something
> along these lines.
> > Thanks
> > Pat
> >
>
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