Jurik JMA

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

  1. man


    first time i hear about this. algorithms available? quick google search didn't indicate what it is really about.

    #11     Jul 25, 2003
  2. I meant tradeable crossovers, how do you trade 1 and 2MA crossover ?
    #12     Jul 25, 2003
  3. just21


  4. damir00

    damir00 Guest

    why do you consider this untradeable? there is no easier MA crossover for EOD trading.

    2-day crossover is equivalent to 1-day penetration. if we close green, go long, if we close red, go short. simplest thing in the world and lays a whooping on all the longer term (e)(s)MAs.

    (anybody with excel can grab as much historical data as they can handle from Yahoo and verify this for themselves)
    #14     Jul 25, 2003
  5. Not true. Market isn't random at any timeframe.
    Otherwise, how would trading work at all? :)

    All trading starts with the smallest timeframe.
    Investors argue that position traders are trading patterns "not far from random"... You're the "investor" here, compared to a scalper...

    It's not necessarily directional trading. I use some ultra-short-term scalping techniques on the ES and NQ, both directional and CT. (S/R and retracements, fib circles etc etc)

    It works astoundingly well. In this kind of trading timeframe, however, it's more important to watch time & sales and market depth to get an idea what's going on, rather than just look at charts which is why you probably think it's "random".

    I tend to say "When the charts lie, watch the order flow".
    What I really mean by that is that sometimes the depth/TS will tell you what's gonna happen before the charts do.

    The "edge" you're asking for - let me try to summarize a few:

    -The smaller the timeframe, the lower the amount of influences / factors affecting current price action.
    -Lower risk per trade (higher position size)
    -Larger cumulative profits
    -Higher trade frequency / consistency = no losing days
    -Better (statistical) evaluation
    -Smaller drawdowns / smoother equity curve

    You think 1M & Tick charts are random? Well some argue that they are the closest to "true market waves". But yeah.

    1M makes no sense? Try a multi-tick chart.
    Look at 128T, 64T, 32T and you might be surprised.
    What do you see?
    You certainly wouldn't have shorted much today looking at them...

    Goo Luck and Happy Trading
    ~The Scientist
    #15     Jul 25, 2003
  6. man


    i did not find algorithms or any kind of technical description on the juri site.

    #16     Jul 25, 2003
  7. nitro


    I think it is very close to a Kalhman filter. The idea is that the MA is close to price action (small lag,) while at the same time it is less noisy.

    I have never thought it was useful. However, as an input to a NN, or perhaps into certain options analysis, it may have value...

    #17     Jul 25, 2003
  8. Yes.

    Be quick, massive diversification and insignificant transaction costs ...
    #18     Jul 25, 2003
  9. It depends on your trading system. I trade using two systems, one JMA works much better than EMA or SMA. If you have a system that uses a moving average the only way to see if JMA is better for that system is to try it. Some things that work in one system make no difference in another. Also you really need more than one system if you are a system trader. A system (or process) will go through cycles. If you are trading two systems at the same time when one is not making much money you want the other one putting food on the table. At times you will have both making good money. That will put a big smile on your face. If both are not making money at the same time you need to go back to the drawing table on one of them and find one that triggers a little different. This is where Mark Jurik's JMA, RSX, VEL and DMX may make a difference.
    #19     Jul 25, 2003
  10. What's the formula for the Jurik MA?
    #20     Jul 25, 2003