|
PureBytes Links
Trading Reference Links
|
At 02:44 PM 4/29/98 -0700, Kovacs, Ross R wrote:
>Just wondering if anyone has seen this idea before:
>
>Rate of Change and Momentum indicators have been around for years. A
>significant problem has been their often bumpy movement due to changes
>in price N days ago rather than the change in price from yesterday to
>today. In other words, Momentum is
>
>PRICE today - PRICE N days ago
>
>As the indicator moves forward in time, Momentum can make big moves
>that are caused by a new value for PRICE N days ago.
>
>Most technical analysts know that a simple moving average has a time
>lag approximately equal to ½ its time length, i.e., a 12 day SMA has
>approx. 6 days time lag. Doesn't it make sense to use the value for a
>simple moving average N/2 days ago in the Momentum formula, rather
>than the single price n days ago?
>
>PRICE today - N day SMA from n/2 days ago
>
>should partially alleviate the bumpy movement in ROC or Momentum.
>
>Obviously, this isn't a big idea. It's just that I've never seen it.
> Has anyone seen or tried this version?
>Just wondering.
>
I just don't believe one moving average can do it. If I were to choose, I
would want at least two exponential moving averages, one somewhat short-term
and another somewhat longer. Once could be 9 days and the other one 30 days
all the way up to 200.
I would also want to back-test them with different alphas. A sedate alpha
of 0.2 might do, or a more nervous one (favoring the most recent samples) of
0.3 or more.
Were I not forced to give up anything, I would also want a stochastic
indicator, an MACD, etc.
No single one will do.
PeteNa9090
petena9090@xxxxxxxxxxxxxx
|