|
PureBytes Links
Trading Reference Links
|
re: lag vs. noise ...using optimization a valid solution ?
What if someone constructed an adaptive-length smoothing tool that could be
optimized for both sensitivity-to-noise(volatility adjustment) and
speed(anti-lag) over 10 years and 5000 trades ?
Could this then be the "Holy Grail" ?
> -----Original Message-----
> From: Ivo Karindi [mailto:ivo@xxxxxxxxx]
> Sent: Sunday, March 25, 2001 1:34 AM
> To: 'ztrader'; 'omega-list'
> Subject: RE: Re[2]: Lagging moving averages?
>
>
> Another thought: if one is using the indicator itself (average
> xaverage, T3,
> whatever) to receive signals, less "noise" and more smoothness in the
> indicator may be desirable. However, if the signals are received from the
> price being above/below the indicator, more lag may be desirable.
> Smoothing
> the indicator introduces lag. Trying to get rid of lag
> introduces noise in
> the indicator. Catch 21.
>
> Ivo
>
>
|