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I've tried a few trend filters such as:
Kaufman's Adaptive Moving Average, Chande's RAVI (crossover of 5 and 65 bar
MA's), linear regression slope, comparing RAVI or LRS to RAVI -10 bars ago,
consecutive bars risingdeclining, . I've seen but haven't used a simple 18 day
MA. I also recall having pretty good luck with simply waiting for 2-4 closes
above the High MA. The "suite" of exits Chuck LeBeau uses in his 25x25 bond
system (you can get it at his web site) I found to be a good way to get out
once you "caught a wave".
Obviously its a trade off--get in late or simply take the hits til you get a
real breakout. Personally, I've started using Commitment of Traders as a
context for taking longer term signals. My guess is a system that used High and
Low MA channel along with commercial extremes might do OK but that is still on
my to-do list.
Glen Wallace wrote:
> Jim:
>
> What methods have you tried in the past to avoid the "chewing up" during
> sideways movement? I've tried things like ADX to supplement moving average
> signals, but the lag these indicators introduce have always made the systems
> ineffective. As a result, I have never been able to rely on moving average
> systems (though I would like to; I guess that's why Chuck LeBeau's
> creativity caught my attention).
>
> Regards.
>
> Glen
>
> ----- Original Message -----
> From: Jim Johnson <jejohn@xxxxxxxxx>
> To: <gcwallace@xxxxxxxx>; <omega-list@xxxxxxxxxx>
> Sent: May 28, 1999 11:29
> Subject: High Low Moving Averages
>
> > Jake Bernstein has promoted signals based on a moving average channel
> > of Highs and Lows. I believe he uses lenght 10 for High MA and 8 for
> > Low MA. I've worked with it quite a bit and it can be used/traded. He
> > describes in his book--Compeat Day Trader I. I seems to have
> > characteristics of volatility breakout and adaptive MA envelopes.
> > Waiting to break the High MA for example I think is in effect like
> > putting a filter on a MA breakout but the filter is responsive the
> > increasing/decreasing range (H-L). Exits are more problematic but I
> > have tried several of Chuck LeBeau's. like many MA systems, you can get
> > chewed up during sideways market action. Contact me and I can share
> > some my system variations that will serve as a starting point.
> >
> >
> > Glen Wallace asked:
> > Chuck LeBeau has a new system that uses a novel approach to identify a
> > trend
> > using moving averages of lows (to identify the higher lows of an
> > uptrend)
> > and highs (to identify the lower highs of a downtrend).
> >
> > Interesting. Has anyone done any research to compare this to, say, a
> > moving
> > average of the ATR or close?
> >
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