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RE: [EquisMetaStock Group] Re: RSX AND JURIK MOVING AVERAGE



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Preston:
Thanks for this very informative posting.
 
Lionel

  _____  

From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx]
On Behalf Of pumrysh
Sent: Thursday, December 21, 2006 5:54 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Re: RSX AND JURIK MOVING AVERAGE



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@ <mailto:equismetastock%40yahoogroups.com>
yahoogroups.com, "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@ <mailto:equismetastock%40yahoogroups.com>
yahoogroups.com 
> 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@ <mailto:equismetastock%40yahoogroups.com>
yahoogroups.com, "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]
>



 


[Non-text portions of this message have been removed]



 
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