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At 05:59 28/04/2004, you wrote:
>At 01:29 AM 4/27/2004, DH wrote:
>
>>> 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.
>
>I often define a lagged moving average as "perfect".
>
>So take some good smooth moving average such as the T3 average, plot it back in time an interval equal to it's lag. This is then a smoothed version of the signal with no lag.
surely you mean -forward- in time, equal to it's lag?
otherwise it'd be double lagged.. :)
Si
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