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At 2:22 PM -0700 9/29/00, Monte C. Smith wrote:
>At 11:24 PM -0400 9/28/00, Bob Fulks wrote:
>
> > The simple moving average, the exponential moving average,
> > and the weighted moving average have no overshoot. More sophisticated
> > moving averages such as the T3 average and the Jurik moving average
> > can have overshoot as this makes them respond faster. On the moving
> > averages I design for myself, I usually include a parameter for this.
>
>This parameter would be used to 'artificially' force the MA plot up or
>down when its (the parameter's) inputs cross a threshold that are
>indiciative of overshoot?
Using an "underdamped" moving average can be used to create a
smoother result with less lag. It tends to "ring" at some resonant
frequency.
> > The so called "end point moving average" is simply the end of a "best
>> least squares fit" linear regression line through all of the data
>> points. It has no lag at all on a sloping price line but overshoots
> > horribly at a turn. It also tends to be pretty noisy.
>
>It seems that some of these problems, such as lag and overshoot, could
>be put to good use, even though they are not desirable characteristics
>in many instances. The fact that the End-point MA overshoots drastically
>at turns might be used with an XMA to generate a raw signal. I've also
>"discovered" how the lag in an MA can be used to determine cycle period.
This is true. If you apply linear regression indicator to the output
of a moving average, you can sometimes get a crossover in advance of
the top or bottom.
Bob Fulks
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