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At 11:57 AM -0500 9/12/99, James H. Snowden wrote:
>Does anyone use adaptive exponential moving averages? How would you code
>one? Does it adjust the length to the length of the last move? If so,
>would this be curve fitting just a leg behind? It is an interesting idea
>but I never could understand how it could work. Reading the Omega Research
>Magazine interview with Sunny Harris made me think I'm not seeing something.
As I recall, both Chande's VIDYA and Kaufman's Adaptive Moving
Average adaptively modify the length of the exponential moving
average.
SCCHANDE is available on the Omega web site. The Kaufman average was
described in the 1998 bonus issue of TASC, page 35.
Bob Fulks
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