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> I have a problem figuring out exactly how to measure the quality of
> fit for a low-lag smoothing filter applied to market data.
Join the club. To measure 'quality' you need to know what values a
'perfect' indicator would output. But, if you know what 'perfect' is,
you could just write a 'perfect' indicator and trade it. Catch 22.
Chicken and egg. Good luck, I don't think you're going to find the
answers you are looking for here.
--
Dennis
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