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Thanks for another informative post, Martin. Here's what I found on Rogers-and-Satchell: It is designed to be 'drift-independent'. I'm not sure what the advantage of that is. The n-day volatility_RS is (volatility_RS)^2 = (1/n)*SUM_from_i=1_to_i=n[ ln[Hi/Oi]*ln[Hi/Ci] +...

This latter is a fallacy. I can see the theoretical basis for the standard deviation definition of volatility, if we accept all the assumptions that allow Black-Scholes to operate. But the rest of these volatility estimators look ad hoc, with a lot of hand-waving to rationalize them. EMA...

Methinks you're ready to explore adaptive moving averages. Enjoy the journey. :cool:

What's the theoretical basis or justification for using something other than the standard deviation? TIA.

http://www.elitetrader.com/vb/showthread.php?s=&postid=785282#post785282

Thanks again to all who responded. :) EQ, how did (do?) you use JMA in your system? Jurik called it "optimal noise reduction" but it really is sub-optimal in the sense that you still have to determine the best length parameter (let's pretend the so-called "phase" parameter is set to its...

Probability of what? You can't just talk about probability in a vacuum, it has to be about something. For example, probability of increasing tomorrow. Which brings into the discussion a bunch of assumptions that should be specified, because people here do not all agree on what the...

Presumably those 30 days are calendar days, which translate to roughly 21 trading days per month. This is a lookback period of 5 weeks (current week plus the previous four). I would double this to a lookback of 9 weeks for a margin of safety, but any more than that and you probably won't be as...

I disagree. I'm no psychologist but I did find the following interview fascinating, mainly because it confirmed my own layman's intuition. From THE NEW MARKET WIZARDS by Jack Schwager: * * * * * * JS -- Why do most traders lose? Robert Krausz -- Recently I conducted a 2-day...

It should be 252 ( = number of trading days per year = 365 minus weekends and holidays). Unlike 250, 252 is divisible by 12, giving you an average of 21 trading days per month.

Thanks to all who've commented so far. :) Regarding Jurik, his website is far from the worst trading/TA website I've been to, but I have arrived at mixed reviews on his indicators. Case in point, the grandaddy: JMA. While I still think the core of the indicator is sound, I have come to...

The NN at Jurik's site is up to 93% less than your asking price. I am in no way advocating the usage of NNs for trading. I simply asked a question about the best usage of TA, and whether what Jurik says about NN usage is actually valid according to real NN users here. That's all.

I found a very interesting idea on Jurik's website: "What's the best application of a neural net in a trading system?" "Numerous users of neural net technology have reported that using a neural net to predict the future TRADING RANGE of a price time series is likely to produce better...

Trying to have it both ways? nitro: "1) Mathematical Noise by definition means it is indeterminate. Therefore, no edge can exist, even for God. ... What you are saying is that there is no pure versions of 1) in the markets. I doubt it, but it may be true." Mathematical noise has ZERO...

Maybe the appropriate term is "zero-information". In his original yahoogroup, Mark Jurik had a post on analyzing information content in price movements. I wish now that I'd saved it. :(

I've seen this before from others and I have to ask: how can you analyze price without automatically including time? When you look at a price chart, it isn't price versus temperature.

This doesn't help. Price movement is not a communication signal. Thunderdog got it right: "Noise" can be a very relative term. I would state that it is a relative term. Market noise is neither additive nor multiplicative nor "random". It is systemic. So my definition of market noise...

Trying to learn trading through poker is like trying to learn war strategy through chess. :p Does your bot allow for other players cheating? Because the market certainly does "care" about you when some scumbag market maker guns your stop.

He said eat, not beat. It was a tasteless and irrelevant sexual joke. Please ignore it and don't let it derail the thread topic.

How did you use the JMA in your system?