Kalman Filter Tutorial Some say there is no noise in finance, and that it all signal. However, it is just a model.
Measuring the market dominant cycle and then using that data to adjust or tune indicators is what John Ehlers was all about for the past 20 plus...
Which is why you should read "Whiter is Brighter." It explains why a 2 day ROC is preferred over a 1 day.
The same physics applies. The higher the frequency cutoff of the filter, the less group delay. The less group delay a filter has, the less...
I use a cyclical indicator "Whiter is Brighter". I have yet to find an MA I am happy (and profitable) with. For those who do offline analysis, I...
There is a reason moving averages work sometimes and other times not. MAs are in reality lowpass digital filters. The two basic types are finite...
Try this article on for on for size.
To send you down the rabbit hole on your journey to learn about moving averages, read "Rocket Science for Traders", by John Ehlers. The TL,DR...
Yes, but in financial markets you get paid to take risks. The difference between reality and the results from your model are where the risks lie....
Trying to find cause and effect for every human decision that moves the market is a fruitless exercise and surely a path to madness. I like the...
After many years of trying to work with trend following and moving averages of different flavors, I have moved on (profitably) to cycles. I...
For your ema, try this formula, and play around with values for alpha and gain, typical values might be alpha = 0.2 and gain = 0.5: y[0] =...
These are the reasons a person needs a TA method with enough mathematical exactness that it can be programmed into an algorithm. The algorithm can...
Sorry I'm responding to this thread late, but earth_imperator is right, this model assumes price is pink noise and not GBM. That is ok, as I...
In my experience, no they don't. In fact they all stink, in backtests and realtime. What one needs is an indicator that combines zero group delay...
In Windows and Linux (I think), you also have the option of Powershell scripts. I use Powershell for simple scripts for downloading data, but for...
Trying to explain markets movements as always due to cause and effect is surely a path to madness. I fell the better way is to have a...
There you go. However one defines a trend, when it starts and when it ends are randomly distributed through time. Furthermore, one has to be able...
Attempting to predict the future is a real thing using linear or non-linear methods, or even utilizing negative group delay. See attached.
Yes, and the reason for coin toss results with MAs is group delay (commonly called lag.) There are near zero lag MAs, but their filtering ability...
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