|
PureBytes Links
Trading Reference Links
|
From: CalaxCorp <CalaxCorp@xxxxxxx>
>>Dear Mr. Jurik, Thanks for the lead. But that would be just "one side of
the story", wouldn't it? <<
Yes. Here's the other side of the story...
1. It requires 30 bars "start-up time" before producing an output.
Exponential moving averages need no start-up time.
2. It sometimes overshoots the time series (but not by much).
My next update, available April '98, is smoother, more accurate and will not
overshoot any time series. That's about all I can say on this forum.
If anyone requests it, and with permission of realtraders, I'll post a GIF that
shows the evolution of moving average designs over the last 6 years. It
compares Xaverage, Mulloy's DEMA, AMA, Tillson's T3, and Jurik's JMA). It shows
how the evolution process is pushing the filtering process of gapped price time
series very close to theoretical limits.
- Mark Jurik
********************************************
Tools for financial data preprocessing
Jurik Research http://www.jurikres.com/
********************************************
|