Mike, err... I mean Albert, pardon me for it has been a long time since I delved into all things DSP, but isn't a first order IIR filter a standard Expo-MA in trader's parlance?
First, you have to realize that you're mixing apples and oranges. LR is a model. You assume the data has a linear form and you "force" the best fit by finding the model parameters that give the least overall estimation error. There is no lag here; once you've found the best model parameters, you can forecast out to eternity if you wish. MA is a smoother. You assume nothing about the form of the data, you are simply trying to reduce noise without losing too much signal. The best MA will necessarily use a different method of adjustment than the best LR, because there is no a priori form to be fitted. Good luck with your research.
I'm glad you stress the word assume, since any type of statistical modelling has a bunch of rules put in place before going forward. The one assumption I love is the one that "all consumers are rational." NOw we all know that's a farce, but let's make the same assumption about investors "all investors are rational." If you make that assumption, modelling it would be a piece of cake, if not, you get what you have now: stochastics, bollinger bands and the like that use stastical means and parameters that work with the assumption that stock data can be "fitted" well
I was about to ask, can anyone give me leading indicator for prices? I'm willing to pay, if it works.
LOL. Al, did you ever study the effects of a woman's weight/girth with respect to the her "rate of change of mind" or is this pretty much a universal constant (enquiring minds want to know, as mine are - except for the occasional chunkier babe - skinny-as-a-rake-supermodel-looking types with 'interesting' bevioural traits). PS. Give my regards to your uncle Pericles.
I was about to ask, can anyone give me leading indicator for prices? I'm willing to pay, if it works. ------------> ---------------------------------------------------------------------------------- For Day trading, You should have different strategy with different indicators, A ranging day needs its own setup and a trending day requires different system. Standard deviation systems such as Keltner channel penetration would not work on strong trending days, also requires a very serious back testing and a good money management, but they be very mechanical and profitable. For heavy trending days you just need to simply go with the crowd, I personally use Jack Hershey's system ( for ES ) IF my entry does not happen to be in RSI and MFI red zone.
Most helpful! Please tell us now how to spot: (1) a ranging day; (2) a strong trending day; (3) a heavy trending day.