Registered: Nov 2011
03-08-12 09:52 PM
Quote from kut2k2:
The main value of any moving average, especially adaptive moving averages as a class, is to act as lowpass filters, i.e., to separate high-frequency components of a time series from the low-frequency components. If you are a trend trader, you want to remove the high-frequency components and trade off the signals from the lowpass filtered series. OTOH if you are a RTM trader, you want to remove the low-frequency components and trade off the signals from the highpass filtered series. MAs aren't very good for RTM trading usually.
Have anyone tried the application of time series forecasting models to short term future projection of ratio line for 2 instruments used in pairs/spread RTM trading? What software or excel tools are there to set up for RTM condition.i.e. which forecasting model is better for RTM? Can we account for the stationarity behaviour(deterministic) of the ratio line?