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Use a simple moving average and set it back half the MA length e.g for an 11
period MA ensure it plots on the 6th point back.
----- Original Message -----
From: "Ian Waugh" <ianwaugh@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Cc: <ianwaugh@xxxxxxxxxxxxxxxxxxx>
Sent: Tuesday, May 20, 2003 11:34 PM
Subject: Re: Band-its...?
> Er, I got lost three posts back, guys... (:-)
>
> Anyone have some code to play with that might plot the central 'trend
> line'...?
>
> Ian
>
>
> > Gary Fritz wrote:
> > >The only way I know of to get results like that is to curve-fit
> > >to the entire data series. That is, each point is calculated
> > >with full knowledge of past AND future points. A polynomial fit,
> > >as Audrey mentioned, is one possibility.
> >
> > Looks that way to me too, come to think of it.
> >
> > >Of course, you couldn't use that to trade, since you have no
> > >knowledge of future data points (bummer!). If that's what those
> > >charts really are, then they're just dummied-up pretty sales
> > >tools that couldn't actually be used for trading.
> >
> > Not necessarily. You don't need future points to fit a polynomial
> > to data. Furthermore, you don't need a polynomial with many degrees
> > of freedom either, if you're concerned with seasonal tendencies as
> > seems to be the case here. A 3rd or 5th degree polynomial should be
> > sufficient for getting trends on a year's worth of data. Simply fit
> > it to 250 days (approx 1 year) and re-fit on every new bar, plotting
> > only the most current endpoint of the polynomial. This is no more
> > valid or invalid than using a SMA or EMA or linear regression
> > projection to identify a trend.
> >
> > >he couldn't be using a polynomial-fit curve for his trading
> > >decisions.
> >
> > I think he could in this context. Think of it this way: for markets
> > with seasonal tendencies, the tendencies average out to a sinewave
> > having a period of 1 year. A sinewave for a single period can be
> > well-approximated by a polynomial.
> >
> > --
> > ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> > // +__> Director of Research and Development
> > // \
> > // __) Unicorn Research Corporation -- http://unicorn.us.com
> >
> >
>
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