Jurik Adaptive Moving Averages and Adaptive Moving averages in general

[vinc]

Quote from intradaybill:

If you are looking for predictions better talk to an astrologer. This is not how traders do it. Only newbies think indicators and traders try to predict anything.

What's '' the intention when using indicators'' ? Can you clarify please?

When I go to this place:http://papers.ssrn.com/sol3/papers.cfm?abstract_id=192848 and in the search button I type 'trading' , some 200 papers show up.. You will not surprise me, believe me .. I ran across a few / let me know if you want me to quote them/ where they CLEARLY speak about predictive power of indicators / or the lack of it/ or predictive power of price patterns / statistically speaking that is/ and they are far from being papers on astrology - it's scientific stuff basically .. so either you have sth to say or you belong in the 'ignore' area.. By the way, did you by any chance publish anything there? Maybe it's worth giving it a try since you seem to have plenty to offer in this field .. If not, there might be an astrological section somewhere.. where else could you belong then??
Regards.

 

[Aston01]

Haha....yea I wouldn't say his website is much of a selling point.

In regards to getting a boot leg well that's a matter of personal opinion ...If your wife likes the certainty that the Louis Vuitton she is carrying around is the authentic quality product that drew her to the brand in the first place, then she wants it bought from a reputable dealer. If she just wants it to look close enough and doesn't mind that it might not be real, then you might take the risk and buy it somewhere for 10 cents on the dollar.

...at the end of the day its a matter of personal decision but be forewarned ...your mileage may vary.

And that just isn't something I personally want to bother with.

 

[Swan Noir]

Clearly this comment is accurate. The job is to find trades that have equity at the moment you fire off the order because you know in taking that trade there is a positive expectation over a large sample. When indicators help you see or give you a heads up that price action MAY be setting up a certain way that clarity and/or heads up may have value.

You would not expect the guy from the car wash to drive you home when he is done. Nor should you expect an indicator(s) to trigger your trade.

Quote from intradaybill:

The intention when using indicators is not to predict anything at all. If you think that, you got a long way to go, I am sorry to say that.

 

[jem]

Quote from Swan Noir:

Clearly this comment is accurate. The job is to find trades that have equity at the moment you fire off the order because you know in taking that trade there is a positive expectation over a large sample. When indicators help you see or give you a heads up that price action MAY be setting up a certain way that clarity and/or heads up may have value.

You would not expect the guy from the car wash to drive you home when he is done. Nor should you expect an indicator(s) to trigger your trade.

great post.

 

[top_step]

Here is an interesting link comparing various MAs including a new kid on the block precision lagless average. I haven't used this new average so I can't comment on how well it works or doesn't work. My personal favorite filter is T3.

http://www.precisiontradingsystems.com/precision_lagless_average.htm

 

[kut2k2]

Quote from topstep:

Here is an interesting link comparing various MAs including a new kid on the block precision lagless average. I haven't used this new average so I can't comment on how well it works or doesn't work. My personal favorite filter is T3.

http://www.precisiontradingsystems.com/precision_lagless_average.htm

Great post. The name is misleading, it clearly isn't "lagless" but it is low-lag compared to conventional MAs. I like the guarantee of zero overshoot, a quality I consider to be very important myself.

 

[kut2k2]

Quote from topstep:

Here is an interesting link comparing various MAs including a new kid on the block: precision lagless average.

http://www.precisiontradingsystems.com/precision_lagless_average.htm

OK, their comparison table doesn't make sense:

Comparison table Speed Accuracy Smoothness
------------------- ------- ---------- --------------
Prec Lagless avg 96 98 96
Hull average 95 79 93
Weighted avg 78 100 91
Triangular avg 71 100 98
Exponential avg 65 100 99

What exactly do they mean by "speed", "accuracy" and "smoothness"?

Speed, I can guess, is inversely related to lag but how are they measuring smoothness and accuracy?

 

[Eight]

Quote from kut2k2:

OK, their comparison table doesn't make sense:

Comparison table Speed Accuracy Smoothness
------------------- ------- ---------- --------------
Prec Lagless avg 96 98 96
Hull average 95 79 93
Weighted avg 78 100 91
Triangular avg 71 100 98
Exponential avg 65 100 99

What exactly do they mean by "speed", "accuracy" and "smoothness"?

Speed, I can guess, is inversely related to lag but how are they measuring smoothness and accuracy?

I had to assume that speed meant speed of calculation.. That thing looks intriguing. These more sophisticated averages from Jurik and all are based on Digital Signal Processing. DSP has brought advances to the art of Radio, I have a Tecsun DSP radio and it's just marvelous..

 

[kiwi_trader]

You could measure accuracy by doing a statistical analysis of price vs the ma ... perhaps sqrt of average distance squared. Smoothness wouldn't be too hard either.

If you look at them hull tends to overshoot a bit and jmas don't so it makes sense.


The real question here is what do you use an average for? Depending on the answer then a non-ema may be the solution but its also possible that distance doesnt matter just how quickly the ma turns after price turns (probably the measure "speed" above).

 

[top_step]

Quote from kut2k2:

OK, their comparison table doesn't make sense:

Comparison table Speed Accuracy Smoothness
------------------- ------- ---------- --------------
Prec Lagless avg 96 98 96
Hull average 95 79 93
Weighted avg 78 100 91
Triangular avg 71 100 98
Exponential avg 65 100 99

What exactly do they mean by "speed", "accuracy" and "smoothness"?

Speed refers to the ability of the filter to self adapt or catch up with an abrupt price spike and then quickly flatten when price moves sideways. The precision "lagless" average appears to be quicker than all other averages including Jurik without overshoot. This may or may not be an advantage with market data depending on how the filter is utilized.