Jurik Moving Average

Discussion in 'Index Futures' started by DAN34, Nov 5, 2001.

  1. DAN34


    Has anyone had experience in using the Jurik Moving Average? If so, what
    has been your experience? Thank you for your assistance I am considering purchasing the product and
    would like to know if it is worthwhile.

  2. DaveN



    I make extensive use of a similar filter published by Tim Tillson in Stocks and Commodities back in 1998. (See http://www.traders.com/Documentation/FEEDbk_docs/Archive/0298/TradersTips/Tips9802.html for Traders Tips).

    Mark developed an original JMA which worked pretty well. At a recent meeting here in Denver, Mark told us that when Tim published this T3, it was a bit better and spurred him on to improve his JMA, which is now better than T3. The T3 is public domain, so you could work with that for a while and see if it is helpful for your trading.

    Both JMA and T3 are filters, as are moving averages. The ideal filter takes out the noise in the data while responding without delay to changes in price movement. In practice, there are tradeoffs: more noise filtering, more lag. JMA probably minimizes this tradeoff better than anything out there for sale. Most filters can take out plenty of noise, but you pick up lots of lag, or slowness of response with things like simple moving averages. JMA blows these regular indicators away when comparing its speed of response to price changes.

    What does that mean for your trading? Well, you have cleaner signals--less perturbed by noise--that respond pretty quickly to price movement. So, you should have better system performance in terms of earlier crossovers of your trading signals, etc. However, as many different traders have many different trading methods and systems, the only way to tell for sure is to try it.

    Check out http://groups.yahoo.com/group/JurikMA or search at http://www.purebytes.com/archives/ for more information or to follow some discussion on the uses of JMA.