hi friends
Here is a link for Richard d Ahrens -How to build a better moving average.
http://www.traders.com/index.php?option=com_content&view=article&id=2679&catid=48&Itemid=130
Build A Better Moving Average
Details
Parent Category: Featured Articles
Category: Indicators
Written by Richard D. Ahrens
Smooth Those Spikes
Is it possible to have a moving average that minimizes zigzags and powers through the occasional price spike? Find out here.
Smoothing market price data sounds like a simple concept, yet it is extremely difficult to do.
We apply moving averages to a time series to reduce noise and reveal the underlying trend with as little delay as possible. As such, there are three main elements we have to look at:
1)Trend — In digital signal processing (DSP),
this is also referred to as the signal.
2)Noise — Gyrations inherent in any complex system.
3)Delay — How long we have to wait to get an answer.
Moving averages essentially act as low-pass filters, that is, they are supposed to smooth away high-frequency noise and leave the lower-frequency signal for us to view. The problem is that large price changes can overwhelm the smoothing ability of short-term averages, and long-term averages introduce so much delay that the answers are of limited use by the time we get them.
IS THERE AN OPTIMAL AVERAGE?
A 200-day simple moving average (SMA) does a wonderful job of getting rid of noise, but you have to wait 100 days to get an answer. An 11-day simple moving average gets you an answer with only five days of delay, but doesn’t do much to quiet the noise. You can see why it’s difficult to smooth price data!
Rest of the article not available.
It is worth trying to find out what Richard d Ahrens actually said on how to get the job done.
===================
Things to think of
==================
Traders use 20,50,200 moving averages for short,medium and long term.
How about checking a 50ma after 25days to get a dependable result or trying to check noise free price average after 50days while using a 100day moving average?
It depends on the traders time frame choice. surely not a zone for daytraders.
or there can be a way for those trading above 30minute or 60minute timeframes.
Here is a link for Richard d Ahrens -How to build a better moving average.
http://www.traders.com/index.php?option=com_content&view=article&id=2679&catid=48&Itemid=130
Build A Better Moving Average
Details
Parent Category: Featured Articles
Category: Indicators
Written by Richard D. Ahrens
Smooth Those Spikes
Is it possible to have a moving average that minimizes zigzags and powers through the occasional price spike? Find out here.
Smoothing market price data sounds like a simple concept, yet it is extremely difficult to do.
We apply moving averages to a time series to reduce noise and reveal the underlying trend with as little delay as possible. As such, there are three main elements we have to look at:
1)Trend — In digital signal processing (DSP),
this is also referred to as the signal.
2)Noise — Gyrations inherent in any complex system.
3)Delay — How long we have to wait to get an answer.
Moving averages essentially act as low-pass filters, that is, they are supposed to smooth away high-frequency noise and leave the lower-frequency signal for us to view. The problem is that large price changes can overwhelm the smoothing ability of short-term averages, and long-term averages introduce so much delay that the answers are of limited use by the time we get them.
IS THERE AN OPTIMAL AVERAGE?
A 200-day simple moving average (SMA) does a wonderful job of getting rid of noise, but you have to wait 100 days to get an answer. An 11-day simple moving average gets you an answer with only five days of delay, but doesn’t do much to quiet the noise. You can see why it’s difficult to smooth price data!
Rest of the article not available.
It is worth trying to find out what Richard d Ahrens actually said on how to get the job done.
===================
Things to think of
==================
Traders use 20,50,200 moving averages for short,medium and long term.
How about checking a 50ma after 25days to get a dependable result or trying to check noise free price average after 50days while using a 100day moving average?
It depends on the traders time frame choice. surely not a zone for daytraders.
or there can be a way for those trading above 30minute or 60minute timeframes.
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