Moving Averages are lowpass digital filters. SMAs are finite impulse response (FIR), and EMAs are infinite impulse response (IIR). John Ehlers is...
You may want also pose these issues over at Wilmott.
My strategy is to not use indicators with these amounts of lag. I am currently testing a zero lag (or near zero lag) strategy.
Lag in an EMA, which is a one-pole infinite impulse response (IIR) lowpass filter, is (N-1)/2. So: 4 days lag 9.5 days lag 24.5 days lag 49.5 days...
The problem with defining support and resistance classically it is always a backward looking calculation. There are a million ways to define a...
90% winning strategy right here! Please do not actually do this, but it is a good learning exercise.
An EMA is a 1-pole infinite impulse response (IIR) lowpass filter. The are hundreds of ways to make them adaptable to market conditions. John...
Buy low, sell high is rational behavior, but the problem is that low and high are relative and not absolute. You need a method that distinguishes...
Market data is non-stationary, and can be modeled as pink noise. In the pink noise model, the power in the cycle content of the data increases at...
This is Arnold Schwarzenegger's perspective when people refer to him as a self-made man.
Ideally, yes and some recommend using 252 trading days instead of calendar days.
Solves for future price X: X = exp(sigma*t*x)*S where S = current price, sigma = volatility, t=sqrt(days/365), x = std dev. Solves for standard...
And how do you propose to identify when these up moves begin and when they end with anything other than 50% precision over a statistically...
Yes, and how I do it is turn pink noise (i.e. price) into white noise with a 5-bar highpass filter:...
If market prices are not random, then make them random, if that suits your trading style. 1. Model price data as pink noise 2. Whiten the data 3....
In this bit of code: IIRMA = Fraction * ( 2 * Series - Series[Lag] ) + ( 1 - Fraction ) * IIRMA[1]; The (2 * Series - Series[Lag]) adds a...
I have attached the technical article. You will note the author recommends using FIR filters, but there is no harm in extending the method to IIR...
Yes. You can certainly use more poles in your filter design, but in reverse filtering situations, you will need to estimate more days into the...
No, I just want to help folks. For my next tip, to get zero lag or even negative lag, research forward-backward filtering using emas (ie one-pole...
Here is a simple trick from the world of digital signals processing to improve the filtering performance of your MAs. 1. Filter the input signal,...
Separate names with a comma.