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Hello List,
In the third edition of "Trading Systems and Methods," Kaufman discusses an
adaptive process on pages 446 to 447 titled, "A Development Example." He
makes reference to an article by George Arrington called, "Building a
Variable Length Moving Average." I've been trying to convert the logic to
easylanguage with no success, plotting nonsense, a five bar or thirty bar
moving average. All of which are wrong. One part that I don't understand is
the discussion of the high and low volatility zones. He defines low
volatility as mean+-.25 standard deviations and the high volatility as
mean+-1.75 standard deviations. In the general form to calculate look back
period, instead of using the above values for the volatility zones, he uses
.25 and 1.75. Would someone mind helping me with the code? Thanks in
advance.
Best Regards,
Trey
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