There is your logical fallacy, context does not lag, it is present in real time. If you insist on using MAs, at least use some of the newer...
Is the red curve even a moving average? It looks too good to be true, i.e. almost zero group delay and probably more than 60dB of attenuation in...
That is Taleb's barbell strategy right? Take no/low risk and take enormous risk at the same time. For example, put your cash in t-bills and use...
Not about DeBeers, but for the history minded regarding diamonds: A description of (Georg) Wippern's operation is described in the report of...
That's why I like the DSP model of market behavior, because it is rooted in solid mathematic and engineering principles. Strength can be defined...
Price movement is caused by an imbalance in liquidity. More liquidity on the asks means price will go up (and vice versa), because there are more...
The formula is actually payoff = (reward/risk)*probability
To paraphrase Frank "Lefty" Rosenthal: "Never bet on a long shot."
Yes, your portfolio variance decreases by the sqrt(N), but then again $40,000 doesn't get you a whole lot of N. Also, a lot of this portfolio...
Sure, here is my code. If price is in column A, enter a starting number cell B1, and enter =Kalman() in cell B2. The function is called from an...
Kalman filter algorithms can be written in any programming language. Search for John Ehlers Zero Lag (well almost). You will find his paper with...
For a tutorial on Kalman filtering have a look at this web site, and work through some of the examples. If you passed high school algebra, you...
Potentially any of them or none of them. It really depends on your personality, philosophy of market movement, attention span, or any other number...
If you insist on using moving averages, some of the newer ones like Jurik and Zero-lag by John Ehlers are a improvement over traditional ones, but...
It sounds like you are having an existential conversation with yourself. Good. Here are a few observations that I think can help you: 1) Nobody...
So the general plan is to forecast price based on historic volatility, ala:...
Not true. Noise is the residual after you subtract a signal from price. If the residual passes an Augmented Dickey-Fuller test for stationarity,...
I have not been satisfied with the zero-lag IIR filters. I find that they just do not have enough attenuation (ie smoothing) for my liking. I'm...
Whether you use the geometric mean, arithmetic mean, you are still using a lowpass filter, and are subject to group delay, commonly known as lag....
Fractal market structure seems to make intuitive sense, but since the late 80's and early 90's when fractal market analysis started to become a...
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