I did a search on the WL site and found that somebody already coded the concept but it was not called a smoothed MA - http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=2230
Saves me the trouble.
pretzel
Moving Averages-simple or exponential
- Thread starter TG
- Start date
I did a search on the WL site and found that somebody already coded the concept but it was not called a smoothed MA - http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=2230
Saves me the trouble.
pretzel
If you are daytrading you will want an MA that can generate a signal much faster than what SMA or EMA will give you. You can look at the some of the adaptive MA's but eventually you will settle on something based on DSP. You not only want to be able to filter out more noise, but also maintain less lag. The noise-lag relationship is usually a sacrifice between one and the other (smoothness vs. lag by expanding sample window). But various DSP techniques allow you to optimize both making fewer sacrifices.
The best publicly available MA is Jurik's JMA.
Regarding daytrading, the reason an SMA or EMA may not give you a valid signal is in the beginning of the trading session your MA will be out of sync. Even if there is no gap, the dynamics of each morning session are different from the previous day's ending session, yet an SMA or EMA will simply treat the pervious day's price data as if it were today's. You need something that can adjust quickly and filter out the noise. This is especially true if there is a large gap.
If you are building dynamic non-linear trading models and using an MA as a proxy for price because bar-to-bar price changes are too noisy, then you want to use the best possible MA you can find.
A better MA does make a difference, but it depends on your method, timeframe, and how you use it. Eg. if you must two MA's as just a simple trend filter, then it doesn't matter as much.
The best publicly available MA is Jurik's JMA.
Regarding daytrading, the reason an SMA or EMA may not give you a valid signal is in the beginning of the trading session your MA will be out of sync. Even if there is no gap, the dynamics of each morning session are different from the previous day's ending session, yet an SMA or EMA will simply treat the pervious day's price data as if it were today's. You need something that can adjust quickly and filter out the noise. This is especially true if there is a large gap.
If you are building dynamic non-linear trading models and using an MA as a proxy for price because bar-to-bar price changes are too noisy, then you want to use the best possible MA you can find.
A better MA does make a difference, but it depends on your method, timeframe, and how you use it. Eg. if you must two MA's as just a simple trend filter, then it doesn't matter as much.
I'll check out the Jurik JMA - does it have a WL version?
I'm using the smoothed MA from Ensign for daytrading 1-min ES and it works better than the standard MA's. The WL script version (6 tweakable parameters) is not exactly the same as the Ensign version (fixed unknown parameters). I'm trying to tweak the parameters to produce the same line and signals as the Ensign version (or even better signals using the optimization feature) - WL is cheaper in the long run and can be automated if I can duplicate the same signals.
pretzel
Quote from gnome:
I look to see which the market has been "respecting" during this move and expect that one will continue to work. I don't believe that between SMA and EMA one is better... just one happens to be working better during this phase.
If neither is "better" than the other, and your preference depends on which one is "working" during "this phase", how, practically speaking, is that different to neither of them "working" at all?
JayF_eSignal
eSignal
A Smoothed MA for eSignal is available. It was created by one of our Development Partners using EFS (eSignal Formula Script). The Smoothed MA can be found at http://share.esignal.com/download.jsp?groupid=114&folder=Miscellaneous&file=SmoothedMA.efs
Additionally, Jurik's Toolset is available for eSignal. Information on this package can be found at http://www.esignal.com/partners/studies/default.asp#jurik
Quote from marketsurfer:
the simple moving average clarifies trend. nothing more, nothing less. it is ALL one needs.
surfer
indeed
I use SMA (different ones for different time frames, depending
on what i'm trading)
The key is taking that profit. The SMA gives you a "line in the
sand" much like S/R or channel. There is a cost to cross the line
(whipsaw). Profit should pay for several line crossings.
Moving averages don't kill traders,
traders kill traders.