Ideally, yes and some recommend using 252 trading days instead of calendar days.
Solves for future price X: X = exp(sigma*t*x)*S where S = current price, sigma = volatility, t=sqrt(days/365), x = std dev. Solves for standard...
And how do you propose to identify when these up moves begin and when they end with anything other than 50% precision over a statistically...
Yes, and how I do it is turn pink noise (i.e. price) into white noise with a 5-bar highpass filter:...
If market prices are not random, then make them random, if that suits your trading style. 1. Model price data as pink noise 2. Whiten the data 3....
In this bit of code: IIRMA = Fraction * ( 2 * Series - Series[Lag] ) + ( 1 - Fraction ) * IIRMA[1]; The (2 * Series - Series[Lag]) adds a...
I have attached the technical article. You will note the author recommends using FIR filters, but there is no harm in extending the method to IIR...
Yes. You can certainly use more poles in your filter design, but in reverse filtering situations, you will need to estimate more days into the...
No, I just want to help folks. For my next tip, to get zero lag or even negative lag, research forward-backward filtering using emas (ie one-pole...
Here is a simple trick from the world of digital signals processing to improve the filtering performance of your MAs. 1. Filter the input signal,...
Kalman Filter Tutorial Some say there is no noise in finance, and that it all signal. However, it is just a model.
Measuring the market dominant cycle and then using that data to adjust or tune indicators is what John Ehlers was all about for the past 20 plus...
Which is why you should read "Whiter is Brighter." It explains why a 2 day ROC is preferred over a 1 day.
The same physics applies. The higher the frequency cutoff of the filter, the less group delay. The less group delay a filter has, the less...
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