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Pat,
Thanks for the offer Pat. The recursive moving average is the method
of smoothing used in the RMO/Rainbow indicators. What we are trying
to do is rewrite that formula as an indicator inorder to make it
shorter and easier for us to change the lookback periods. Both
methods that we have thus far are posted in MC's email.
Preston
--- In equismetastock@xxxxxxxxxxxxxxx, "Patrick Butler" <pat494@xxx>
wrote:
>
> Hi Preston,
> I don't recognise the name recursive moving average but may have
something similiar under another name. Perhaps you would like to post
your version ?
>
> regards
> Pat
>
> ----- Original Message -----
> From: pumrysh
> To: equismetastock@xxxxxxxxxxxxxxx
> Sent: Sunday, February 22, 2009 8:15 PM
> Subject: Re: [EquisMetaStock Group] RMO sizzle adjusted moving
averages & zero lag osc
>
>
> MC,
>
> Thanks!
>
> You're right there is no magic.
>
> My son and I were working on the analytical form ourselves.
> Eventually what I'd like to see is a version that would allow
inputs
> of both the short term moving average lookback periods and the
> recursive lookback periods and while I know a solution will
finally
> surface as it always does this certainly helps move us forward in
> the quest.
>
> Preston
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "p_panther_73" <mchantzi@>
> wrote:
> >
> > Just in case someone finds it interesting, the expression
> >
> > (Mov(C,2,S)+
> > Mov(Mov(C,2,S),2,S)+
> > Mov(Mov(Mov(C,2,S),2,S),2,S)+
> > Mov(Mov(Mov(Mov(C,2,S),2,S),2,S),2,S)+
> > Mov(Mov(Mov(Mov(Mov(C,2,S),2,S),2,S),2,S),2,S)+
> > Mov(Mov(Mov(Mov(Mov(Mov(C,2,S),2,S),2,S),2,S),2,S),2,S)+
> > Mov(Mov(Mov(Mov(Mov(Mov(Mov(C,2,S),2,S),2,S),2,S),2,S),2,S),2,S)
+
> > Mov(Mov(Mov(Mov(Mov(Mov(Mov(Mov
> (C,2,S),2,S),2,S),2,S),2,S),2,S),2,S),2,S)+
> > Mov(Mov(Mov(Mov(Mov(Mov(Mov(Mov(Mov
> (C,2,S),2,S),2,S),2,S),2,S),2,S),2,S),2,S),2,S)+
> > Mov(Mov(Mov(Mov(Mov(Mov(Mov(Mov(Mov(Mov
> (C,2,S),2,S),2,S),2,S),2,S),2,S),2,S),2,S),2,S),2,S))/10;
> >
> > can be written down in the following analytical form:
> >
> > (C*1023+Ref(C,-1)*2036+Ref(C,-2)*1981+
> > Ref(C,-3)*1816+Ref(C,-4)*1486+Ref(C,-5)*1024+
> > Ref(C,-6)*562+Ref(C,-7)*232+Ref(C,-8)*67+
> > Ref(C,-9)*12+Ref(C,-10))/10240
> >
> > I don't know about you (though I can bet that most of you would
> tend
> > to agree), but to me it seems like there's no magic to it :)
> >
> > I have a relative post at my blog http://mc73.wordpress.com
> >
> > It's in my native language, so probably you won't find it of
much
> use.
> >
> > Regards,
> >
> > mc
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "Lionel Issen" <lissen@>
> wrote:
> > >
> > > Superfragalist:
> > >
> > >
> > >
> > > You are dead RIGHT and thanks for this thoughtful posting.
> > >
> > >
> > >
> > > Lionel
> > >
> > >
> > >
> > > From: equismetastock@xxxxxxxxxxxxxxx
> > [mailto:equismetastock@xxxxxxxxxxxxxxx]
> > > On Behalf Of superfragalist
> > > Sent: Friday, February 20, 2009 10:54 AM
> > > To: equismetastock@xxxxxxxxxxxxxxx
> > > Subject: [EquisMetaStock Group] RMO sizzle adjusted moving
> averages
> > & zero
> > > lag oscillators
> > >
> > >
> > >
> > > The name RMO is all about marketing. In the world of TA
nearly
> all
> > > indicators are sold on the "mystery" and not the performance.
> > >
> > > It's selling the sizzle rather than the steak. If Equis had
said,
> > > we're putting in the Rainbow OSC into MS 10, want to upgrade?
> Well,
> > > you better step back because the stampede is coming!
> > >
> > > Equis built a whole marketing campaign around the RMO based
on
> what a
> > > great system it is. It's performance is based on the same
> fundamental
> > > issue. In a definitive trend nearly anything works well. This
> premise
> > > about definitive trends seems so simple, but many people
ignore
> it, or
> > > worse, assume they get it. The best book that really defines
the
> > > importance of knowing the trend is How I Trade for a Living
by
> Gary
> > > Smith.
> > >
> > > Anytime something comes out that's new, the code hacks start
the
> > > reverse engineering. Often it's simple.
> > >
> > > It's surprising how much mystery sells. My favorite example
is
> the CS
> > > Scientific expert based on fuzzy logic. There are more
questions
> on
> > > that than any other expert in MS. It's amazing how many
people
> think
> > > it's the most accurate expert in MS. Many people have tried
to
> track
> > > down the developer, the company or anyone that knew them so
they
> can
> > > "buy" the code.
> > >
> > > When I tell people it's simply a moving average crossover,
they
> think
> > > I'm lying to them, or I don't know what I'm talking about.
Moving
> > > average crossovers are based on stocastics so they're
fundamental
> > > fuzzy logic equations. In the ribbon indicator, there's a std
dev
> > > thrown in so now it's really getting into deeper fuzzy logic.
> > >
> > > Mystery is wonderful. It just doesn't make anyone but the
seller
> any
> > > money.
> > >
> > > Super
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx
> > > <mailto:equismetastock%40yahoogroups.com> , pumrysh
<no_reply@>
> wrote:
> > > >
> > > > GV,
> > > >
> > > > You are correct, I would like to see an easier version of
the
> > > > indicator even though I know that a SMA(6) is very close.
> While 1%
> > > > at this quick/short of a lookback is not much I can't help
but
> think
> > > > that the further out you go the bigger the difference would
be.
> > > >
> > > > I also mentioned that not all programmers lay all their
cards
> on the
> > > > table. I was talking about myself, not Wabbit. To see all
of
> the
> > > > Equis forum discussion go to:
> > > >
> > > > http://forum.equis.com/forums/thread/23170.aspx
> > > >
> > > > As far as the RMO versus the Rainbow, I would have to say
that
> > > > little was ever published about the Rainbow. What we have
then
> is an
> > > > enhanced version of the Rainbow which happens to be called
the
> RMO
> > > > and that's quite okay. Maybe the name should be changed
> to "RMO...an
> > > > enhanced Rainbow Oscillator System".
> > > >
> > > > I'm really glad that you have been able to learn something
> from the
> > > > discussion. If we've stimulated some other minds as well
then
> its
> > > > been a really good day.
> > > >
> > > >
> > > > Preston
> > > >
> > > >
> > > >
> > > >
> > > > --- In equismetastock@xxxxxxxxxxxxxxx
> > > <mailto:equismetastock%40yahoogroups.com> , "Vasanth Mohan G
> Buddaan"
> > > > <vgbudawn@> wrote:
> > > > >
> > > > > I take Preston saying "...and would love to see a
shorter /
> easier
> > > > version of it" to be an invitation to take the discussion
> further.
> > > > >
> > > > > Actually wabbit himself in his post has nicely dissected
the
> > > > recursive averaging to its well approximated simpler
version
> as
> > > > below;
> > > > >
> > > > > "...it might be interesting to note that the
> > > > AverageOfMovingAverages (the mathematical average of the
ten 2
> bar
> > > > SMAs) is ALMOST the same as a much more simple expression,
Mov
> > > > (C,6,S). If you compare the PRECISE VALUES of the
> > > > AverageOfMovingAverages and the Mov(C,6,S) there is always
a
> small
> > > > difference, but, if you compare the instances when the
CLOSE
> crosses
> > > > the AverageOfMovingAverages and the instances when the
CLOSE
> crosses
> > > > the Mov(C,6,S) they are the same, with about 3-4% error. If
> you
> > > > apply one bar latitude in either direction, the two
> expressions are
> > > > the same within 1%. Thefore, for testing when the CLOSE
> crosses the
> > > > AverageOfMovingAverages the trader could easily substitute
Mov
> > > > (C,6,S) for the more complicated expression."
> > > > >
> > > > >
> > > > > But what I was more interested in RMO was not the formula
in
> > > > itself which when the indicator itself is available has no
> more
> > > > additional use but how it, so well, tackled the 'gaps' or
the
> > > > wildness of a couple of ticks in the direction opposite to
the
> > > > trend / position. Most usual MACO system would have created
a
> lag
> > > > and if a signal had been generated in that skew it would
have
> > > > carried on for quite a while but was not so in RMO. When
the
> whole
> > > > Rainbow Indicator formula itself is taken for studying, the
> process
> > > > does not become obvious but when the simplified version of
> wabbit is
> > > > considered it makes eminent sense.
> > > > >
> > > > > What better way than to average the skewedness of a
couple
> of
> > > > ticks with more saner ones prior or past to them to reduce
the
> > > > impact of this skew. Simple averaging of essentially a
short
> period
> > > > makes sure equal weightage is given to the saner ones
> regardles of
> > > > their positioning - whether before or after the 'gaps' /
the
> sudden
> > > > spurts thereby reducing the impact of this few stray
behaviour
> of
> > > > the market while still in a larger trend. Then the
resultant
> output
> > > > can always be used for long period averaging to make sure
one
> sits
> > > > through the trend inspite of these few stray & adverse
ticks.
> In
> > > > hindsight, it all looks so very simple & logical. I
seriously
> wonder
> > > > whether the the designer of RMO himself realised it, for if
he
> had,
> > > > he could very well have gone for the long period
exponential
> > > > averaging of the simple moving averaging like Mov( Mov
> (C,6,S) , 81 ,
> > > > E ) instead of choosing to average the Rainbow Indicator
> thereby
> > > > losing some amount of original thinking.
> > > > >
> > > > > While wild moves of very short term in nature is ignored,
> the
> > > > adverse effect of this would be a much more severe lag
because
> of
> > > > the initial simple averaging. In other words, this sytem
while
> > > > avoiding smaller and sharper strayness would either get
into
> the
> > > > trend later but by which time the probability of trend
having
> set in
> > > > would have become high. By same logic, it would also get
out
> of the
> > > > trend later. Or take bigger loses / bigger whipsaws when
> prices
> > > > trade in larger ranges due to its lack of sensitivity. That
> is,
> > > > while avoiding smaller whipsaws it will take larger ones
> (though
> > > > they may be fewer) but also lose good amount of profits at
the
> time
> > > > of exits even when in trend which explains the words of Big
> > > > Papa "..For all the testing of the RMO I have done, it is
good
> at
> > > > getting in, but terrible at getting out.."
> > > > >
> > > > > The limitation of any Moving Average System has probably
> been best
> > > > described by Preston...
> > > > > "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."
> > > > >
> > > > > Must thank everybody who contributed for a good learning
> period
> > > > for me.
> > > > > gv
> > > > >
> > > > >
> > > > >
> > > > > ----- Original Message -----
> > > > > From: "pumrysh" <no_reply@xxxxxxxxxxxxxxx
> > > <mailto:no_reply%40yahoogroups.com> >
> > > > > To: <equismetastock@xxxxxxxxxxxxxxx
> > > <mailto:equismetastock%40yahoogroups.com> >
> > > > > Sent: Friday, February 20, 2009 4:01 AM
> > > > > Subject: [EquisMetaStock Group] Re: adjusted moving
averages
> > > > &zerolagoscillators
> > > > >
> > > > >
> > > > > > GV,
> > > > > >
> > > > > > Today you have learned the formula to the RMO/Rainbow
and
> that
> > > > > > programmers never lay all there cards on the table.
> > > > > >
> > > > > > I'd say you've learned quite a bit.
> > > > > >
> > > > > > I actually like the recursive moving average and would
> love to
> > > > see a
> > > > > > shorter / easier version of it.
> > > > > >
> > > > > > Preston
> > > > >
> > > >
> > >
> >
>
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