|
PureBytes Links
Trading Reference Links
|
Ahh, a man after my own heart!
So let's consider a variable or weighted zero lag. Maybe something
like this:
{Zero Lag VariableMA}
Period:= Input("What Period",1,250,10);
VMA1:= Mov(C,Period,VAR);
VMA2:= Mov(VMA1,Period,VAR);
Difference:= VMA1 - VMA2;
ZeroLagVMA:= VMA1 + Difference;
ZeroLagVMA
or
{Zero Lag WeightedMA}
Period:= Input("What Period",1,250,10);
WMA1:= Mov(C,Period,W);
WMA2:= Mov(WMA1,Period,W);
Difference:= WMA1 - WMA2;
ZeroLagWMA:= WMA1 + Difference;
ZeroLagWMA
or maybe a combination of these.......
Interestingly, the metastock help file had this to say about the
variable moving average...
"A variable moving average is an exponential moving average that
automatically adjusts the smoothing constant based on the volatility
of the data series. The more volatile the data, the larger the
smoothing constant used in the moving average calculation. The
larger the smoothing constant, the more weight given to the current
data. The opposite is true for less volatile data.
Trader's often associate high volatility with strongly trending
markets. However, this is a mistake. Strong trending markets are
often less volatile because of the consistency of day-to-day price
changes. Its when prices are erratic in their day-to-day movements
(i.e., down a lot, up a little, up a little, up a lot, up a little,
down a little, etc.), that volatility increases. This can occur in
uptrending, downtrending, or sideways markets.
Typical moving averages suffer from the inability to compensate for
changes in volatility. During volatile markets, you want a moving
average to increase its sensitivity, so that you will quickly be on
the correct side of any wild gyrations. By automatically adjusting
the smoothing constant, a variable moving average is able to adjust
its sensitivity, allowing it to perform better in both high and low
volatility markets.
VMA = (0.78*(volatility index) * close) + (1-0.078 * volatility
index)*yesterday's VMA
The absolute value of a 9-period Chande Momentum Oscillator is used
for the volatility index. The higher this index the more volatile
the market, thereby increasing the sensitivity of the moving average.
This method of calculating a variable moving average was presented
by Tushar Chande in the March 1992 issue of Technical Analysis of
Stocks & Commodities magazine."
So it appears that the variable moving average is a great way to
introduce volatility into an exponential moving average!
Can't wait to see all the interesting combinations that you guys
will come up with.
Preston
--- In equismetastock@xxxxxxxxxxxxxxx, "David Jennings"
<davidjennings@xxx> wrote:
>
> Preston,
> I don't disagree.
>
> Sadly, Yahoo dropped off the chart that comparing it with some
other MAs. One of these was the IR MA which was the sum of the EPMA
and the IRLS divided by two. Another was the Weighted MA which has
quite good characteristics. Depending on the application, if you are
looking for a low lag MA (without buying Mark Jurik's excellent
products) with minimal overshoot have a look at a volatility
weighted adaptive moving average. As in in all things it depends on
what you are trying to achieve.
>
> ----- Original Message -----
> From: pumrysh
> To: equismetastock@xxxxxxxxxxxxxxx
> Sent: Thursday, December 21, 2006 8:48 PM
> Subject: [EquisMetaStock Group] Re: RSX AND JURIK MOVING AVERAGE
>
>
> David,
>
> Any time you smooth you will introduce lag which in turn will
lead
> to overshoot. Even so the Zero lag can be a good starting point
to
> develop on. Basically, the indicator uses 2 different moving
> averages then adds the difference. There is no reason to believe
> that we can't use something other than exponential moving
averages.
> Nor should we think that we have to be stuck with the time
frames
> that are used. There are literally dozens of ways to design the
> indicator. Give it a try and see what you come up with.
>
> Preston
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "David Jennings"
> <davidjennings@> wrote:
> >
> > When comparing this average to others chosen at random, it
seems
> to me to have quite a bit of lag and overshoot.
> >
> >
> > DJ
>
>
>
>
>
> [Non-text portions of this message have been removed]
>
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/equismetastock/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:equismetastock-digest@xxxxxxxxxxxxxxx
mailto:equismetastock-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|