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



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I'll put a couple of charts up in the file section  to directly compare these Moving averages.
  ----- Original Message ----- 
  From: adamp_27 
  To: equismetastock@xxxxxxxxxxxxxxx 
  Sent: Friday, December 22, 2006 12:43 AM
  Subject: [EquisMetaStock Group] Re: RSX AND JURIK MOVING AVERAGE


  --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxx> wrote:
  >

  Yes interesting,

  for Preston 

  the code you have provide is Jose technique in coding and it does 
  not smooth out the lagging. somehow I just agree with David

  IMO another fast moving average is Hull Moving Average. I presume it 
  perform faster than jurik

  here is the link www.tradersexpo.com.au/pdf/hull_moving_average.pdf 

  for David 

  I can understand the way you disagree but please if you have the RSX 
  coding or a better solution post it here, we can discuss it. This is 
  the main fuction of forum sharing and imparting not arguing on 
  something. I try to change the nuances of this forum from the 
  previous condition that full of useless and blurred objective in 
  trading. In here, I am not looking for a figh. I just try to make up 
  something for our benefit

  regards

  ADAM

  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@> 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]
  > >
  >



   

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



 
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