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The book is old, but if you can find a copy, it provides a very good
explanation of the use of moving averages as filters of market data, of
the characteristics of MA filters, and of the shortcomings of such
filters. The book is "The Profit Magic of Stock Transaction Timing" by
J.M. Hurst, published by Prentice-Hall in 1970. It also has a
bibliography (probably a bit out-of-date by now) on the subjects of
digital filtering/smoothing and spectral analysis.
Carroll Slemaker
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