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Strategies & Market Trends : Predictions + Projections
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To: Steve Lee who wrote (13)1/23/2002 7:00:12 AM
From: MechanicalMethod   of 26
 
22dma isn't what I had in mind but it would be interesting to see someone try it and what conclusions they arrived at. I'd like to learn something myself through this process of sharing so those results and conclusions are important to me. But your correct in that much of it can be extrapolated without actualy running the tests. Your suggested parameter is closer to ideal although your skipping past the signal line by using H's and L's. My point was to measure the excursion to the H's and L's from a signal line. BTW, the difference between this and HAL is I'm not using a rigid line... it's a curved signal... and no it's not linReg either. Ok, so if you decide on a signal line then to pick up on the current level of excursion... and this relates to the volatility you mentioned, I favor a simple 5 period lookback which results in 4 samples after tossing the outlier. Actually I think a lookback of 4 - 1 outlier is what I settled on? But one of the conditions is slope dir of the signal line during the lookback period match current signal line slope dir. Otherwise everythings compromised during the flats when the signal turns. I describe a solution for that in post #2.

Again regarding volatility, just use actual min+max excursion after you've tossed 1 outlier and the result will be real and give accurate expectations for favorable and unfavorable excursion. Actually 2 expectations for the L and 2 expectations for the H... the minimum norm and the maximum norm. Volatility is built into the function because it measures both dirs from center. It measures both of them twice, the min+max. That's how it differs from standard MAE MFE in that it also measures minimum expected norms.
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