Jurik JMA

Discussion in 'Technical Analysis' started by just21, Jul 25, 2003.

  1. just21


    Is anybody using this moving average? What are your experiences?
  2. works ...
  3. just21


    Do elaborate!
  4. Is it really better than EMA, WMA? My friend did some tests on EOD data on many markets, many parameter sets. Performance of trading systems based on JMA crossover vs EMA crossover was similar, on average.
  5. Which was a best performing MA crossover method ? My guess is 5x15 or 10x35 .
  6. I don't know, I don't have detailed statistics from his research. One thing I remember from my EOD backtesting is that the best set of param. for DAX index was almost the worst set for S&P ! Of course, within some range of values e.g. fast EMA 8 to 40, slow EMA 45 to 400. I don't believe in wonderful indicators or some magic set of parameters which are "the best". However, certain range of parameters can work significantly better than the others, due to market's characteristics.
    I also found that swing trading gives potentially better performance than day- or long-term trading. Reasons, IMO: in daytrading we have too much noise and too high execution costs, long-term trading captures inefficiencies less frequently than swing strategies.
  7. We use it instead of an EMA in scalping systems, significantly better ...
  8. just21


    Has anybody got the capabailty to test different parameters of a sma crossing an ema on stock index futures of short duration?
  9. In my view, markets at tick or 1-minute level aren't far away from random. Am I wrong? How can you profit from it? Maybe you can predict intraday volatility with some edge. I assume we talk about directional trading. I don't know what's the source of edge in scalping systems.
  10. damir00

    damir00 Guest

    not even close. :)

    it's 2x1. i'm sure somebody can post a link to the most recent study of this...
    #10     Jul 25, 2003