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Hello Alex,
Could you give another example, one that's open source possibly?
Thanks,
Trey
-----Original Message-----
From: unicorn@xxxxxxxxxxxxxxx [mailto:unicorn@xxxxxxxxxxxxxxx] On Behalf Of
Alex Matulich
Sent: Monday, November 13, 2006 7:23 PM
To: omega-list@xxxxxxxxxx
Subject: Re: Hull Moving average
>The Hull Moving Average solves the age old dilemma of making a
>moving average more responsive to current price activity whilst
>maintaining curve smoothness.
The "problem" as stated is a straw man. The problem isn't a
dilemma. It's more of a trilemma, involving THREE things, not two:
1. maintain smoothness.
2. minimize lag.
3. minimize overshoot.
Unfortunately, the Hull Moving Average suffers from overshoot, which
is typical of low-lag smoothers based purely on impulse response
functions.
Statistical smoothers, on the other hand, DO balance these three
features. Jurik's moving average (JMA) is one example.
-Alex
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