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I agree with the other posts about Mark Jurik's JMA. It is the smoothed,
shortest lag MA you will get. Mark is also one of the good guys of the
business.
Chande's Vidya MA also has some interesting characteristics, though it isn't
as smooth. I main thing I like about it is that it is more sensitive than an
EMA and it tends to go flat quickly when a trend is over. I like it better
than Kaufman's, although Jurik thinks Kaufman's is more accurate.
I haven't heard of the ARMA and ARIMA. Could someone please guide me to the
literature on those indicators and offer any opinions.
Neil
| -----Original Message-----
| From: Hernan Covarrubias Castillo [mailto:ingtrea@xxxxxxxxxxxxxx]
| Sent: Thursday, October 01, 1998 3:48 PM
| To: Omega-list@xxxxxxxxxx
| Subject: More sophisticated Moving Averages
|
|
| Does anyone know bibliography or web sites where I can find
| info about
| more sophisticated moving averages. Of course I know EMA, DEMA, T3,
| ARMA, ARIMA, and the others you can find there in the Omega and TASC
| sites, but I would like to know the state of art about this
| matter. Is
| there any method (mov.average procedure) with low lag and
| extremely good
| smoothness ?.
| PS: People at Jurik Research could tell me: "My moving average!".
|
|