What you are thinking about is called an Adaptive Moving Average(AMA). Search for the AMA of Perry Kaufman, Tushar Chande, and John Ehlers. There...
Definition of group delay (lag): [IMG] The negative derivative of phase with respect to frequency. Again, this implies that price is a complex...
Here is the 411 on moving averages and lag: Moving averages are lowpass digital filters. The two types are Finite Impulse Response (FIR) and...
All the white splotches gives Taleb's picture a certain Einsteinesque look. In any case, we need tail risk funds for the masses. Something from...
Try this EMA for yourself. Technically, it's a one pole infinite impulse response (IIR) filter, and considered Kalmanesque....
While this is a true statement, it's far too simplistic to develop a trading strategy around. Specific rules need to be applied to this macro...
Price action is fractal in nature however. If the OP is not inclined to sit in front of a computer screen all day, then they could use the same...
Because if you have truly made an advancement in derivatives pricing, you are wasting your time and ours by posting on an anonymous trading forum....
There are no technical indicators or price action patterns that give you indications with anything better than approximately 50% precision. You...
If you are going to use MAs, one should learn to view them as lowpass digital filters so that you can better engineer them to meet your needs,...
A reasonable model of price behavior is pink noise. Therefore, a trend is just waves with a longer periods (lower frequency) as the dominant...
The problem is, that however you define a trend, when they start and when they end are randomly distributed in time. You need to backtest your...
The biggest problem you have is that you never backtested your system, and try to determine if it has positive expectancy before trading it. When...
If not using a random sample of the population, then you could bias your selection for any given set of tasks. Not very smart of Eckhardt to allow...
It all depends on if you can define what a breakout is to you, so that you can put it into algorithmic form and backtest it. What you want is to...
Why would people want to trade your instrument versus existing structured products? How would dealers make money from its' trading activity, from...
An important question to ask is how is the sponsor or dealer of the new product able to make money from the products' trading activity? For...
On a more philosophical note, this thread begs the questions, can a publicly disclosed trading system that had positive expectancy, still retain...
You shouldn't worry about skew or kurtosis in your Kelly calculation. In fact you should probably use fractional Kelly and just stick with a...
The person whose work to want to look at for market cycles analysis is John Ehlers. He uses DSP methods applied to finance. The caveat I always...
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