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Ian,
> Yes, that was my first thought - MAs and BBands but I can't
>get an MA to cut as smoothly through such varying data. The Sigma bands
>are possibly/probably BBands but the central 'trend line' as it's called
>is the puzzle.
Well, it says the length period is 250 days. Given that, did you see
what happens with a simple moving average, an exponential moving
average, or something more exotic like the T3 moving average?
I note also that visually, this trend plot seems like it may be
lag-corrected. Lag correction is something one can do with very
little overshoot for data with a slowly-changing trend (short-term
market data doesn't qualify but long term might). A double
exponential moving average (EMA) is an example of a lag-corrected
moving average, using a trend forecast to correct the lag:
Single EMA (what we're all used to): EMA = w*x + (1-w)*EMA[1];
Double EMA: DEMA = w*x + (1-w)*(DEMA[1] + T)
T = v*(DEMA-DEMA[1]) + (1-v)*T[1]
where x is the data to smooth, w is weighting factor for the
exponential moving average, v is a second weighting factor for the
trend forecast T.
Don't try to use this to make a lag-free moving average on
short-term data of a few bars; it overshoots pretty wide on
dramatic changes in trend. I gather that Mark Jurik's JMA uses
this technique in an adaptive fashion, likely with a better-quality
underlying filter than EMA, to eliminate overshoot and obtain a
smooth curve with low lag.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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