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David,
There are ways to assess phase lag and then compensate by speeding/slowing
the moving average. However, there are 2 potential problems: 1) it
requires relatively clean cycles which don't exist in the real world, 2) as
cycles become shorter, the speed needed to keep the MA less than 1/4 cycle
out of phase may make it too noisy to be useful.
- mark
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From: david b. stanley[SMTP:davestan@xxxxxxxxxx]
Sent: Thursday, July 27, 2000 3:08 AM
To: Mark Jurik; omega-list@xxxxxxxxxx
Subject: Re: Cycles and averages
I guess that's the key and has always been my frustration. To those
with better math skills than mine, are there any common mathematical
approaches or tools that might be an avenue to pursue in determining
just how out-of-phase an indicator cycle has become to a price cycle
so as to adjust entry or maybe even indicators accordingly?
dbs
Mark Jurik wrote:
> Monte:
>
> >>... In summary, I think a 2-line ma crossover system whose best return
on account comes from inverted ma lengths, does so because the ma crossover
system lag is the duration of the cycle.<<
>
> You are very close... actually the crossover lags by 1/2 the cycle
length, so inverting the MACD logic puts it right back in phase with the
oscillating signal. However, this approach is risky because during an
uptrend, the reverse logic will suggest going short. Consequently, this
approach works best on markets that spend most of the time reversing within
a channel.
>
> - mark jurik
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