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Simon,
You might be reading it wrong. He does mean plot the indicator back a
bar or two so there is no lag. Say it has two bars lag so you plot
the indicator back two bars so it has Zero lag. Needless to say the
final two bars on the chart will not have data but if you can solve
that they you will be in the big money.
Best regards,
Jimmy Snowden
mailto:jhsnowden@xxxxxxx
Tuesday, April 27, 2004, 3:37:36 PM, you wrote:
SD> 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.
SD> surely you mean -forward- in time, equal to it's lag?
SD> otherwise it'd be double lagged.. :)
SD> Si
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