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I would recommend Ehlers book Rocket Science for traders. In it he explains
filters from a signal processing point of view. Other popular moving
averages are described in detail. He also presents some theoreticaly optimum
filters.
I've asked on the list before and no one has bitten. Does it really make a
huge difference to a system which of these filters you use ? Do people use
exotic filters for discretionary trading and again is there a reason that
say a JMA is preferable over an Ehlers in that case?
Cheers,
Nick.
rnn> Does anybody have the formula(ela)or logic behind the Jurik
rnn> Moving Average with zero or little lag to the norm?
If you study target trackers and exotic filters you can produce
techniques that are very close to what he does. You might even find
ones that may have a bit more lag but have other characteristics that
can make them even more useful. Takes work though. :-)
ztrader
P.S. I agree completely with Romi having an interest in doing your own
research dose not make you a pirate.
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