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Hi! I think that's a very good idea, that it would work well. Optmimised ma-crossing is used by large institutions, and I'd love to see it implemented in MT4. I'll try to be of as much help as I can.
If I may suggest, I think one should try to fine-tune the buy/sell signals by introducing a gearing function, as a function of the difference between price and ma or between two ma's. What I mean is a function that takes the values: 0 (neutral) when i=price-ma is below a threshold a, 0.5 (slightly bullish) when i>a but less than b, 1 (bullish) when i>b but less than c, and finally -1 (contrarian) when i>c. The reverse would hold in the bearish direction. Second step would be to introduce a decision function that makes the decisions based on the value of the gearing function, size of position, profit of position, account balance, and so on. What do you think? |
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Adaptive Moving Averages
I think what you are talking about are called Adaptive Moving Averages, MAs that adapt to price fluctuations. I Googled the one I know of called KAMA (Kaufman Adaptive M A) and found a power point presentation viewable in html all about this and other AMAs, relative merits etc. Some people have done some serious work on the subject, so, as to not have to re-invent the wheel (as I have often done) I offer this link of Google's cache to the thread.
http://64.233.161.104/search?q=cache...ient=firefox-a If you have Power Point you may wish this link instead: www.mesasoftware.com/Seminars/TSWorld05.ppt If neither works for you for some reason, type the following string into Google: KAMA Kaufman GoOd LuCk! PS: for stop losses I saw once an indicator called the Chandelier Exit. I have no experience with it whatsoever, but here is a link to a custom programming site that offers it as a free download. Try it and post your results! http://www.mqlservice.com/download.h...ilies/nerd.gif ![]() |
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Hyia,
That is a great idea once again and you are brave to have initiated it. I think MA cross can be really helpful, after all in forex we only have the price information to use. Why not use several (2-3) fast and slow moving average, that could cross in between each other and trigger buy and sell with x Lot opening linked to a Money managment. Also the Moving Average could be calculated in a non conventional way. instead of having a fix set of period ( ex 25) you could use a kind of number of pips back between open and close, ex 250 so going back x period till the Totalpips = Totalpips+(abs(Open[i]-close[i]) if Totalpips>=250 then MAvalue= MA(i) Hope it is not too confusing. Thanks Bernard |
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I tried to search inside my computer ( sometimes it is better that Google) and i found 1 KAMA and 3 Kaufman indicators.
And Igorad created NonLagMA_v2 indicator. He said that "with default settings it correspond FATL and seems looks better. Besides we can apply this MA for Volatility, Momentum and for other useful tools. We can receive SATL, JMA by changing of settings." |
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Making a good MA cross based trading system is not the same thing as finding the most quickly adapting moving average. On the contrary, a bit a of lag can be good for robust buy/sell signals. So I think the best thing is to stick to price-MA as the basis for gearing, where MA is an appropriately chosen MA. I would suggest
MA(d, price) = 1/4 * Sum (EMA(2d/5,k,price)) where k in the sum goes from 1 to 4 and iteratiively EMA(d,k,price)=EMA(d,EMA(d,k-1,price)) and then to start the optimisation around d=20.
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Mundus vult decipi, ergo decipiatur. |
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Hi,
Some comments for using of NonLagMA: - default settings correspond FATL. - Price(0), Length(128), Cycle(2), Phase(10), Coeff(7), Level(0.3) curve is similar to SATL, - Price(0), Length(128), Cycle(5), Phase(7), Coeff(10), Level(0.3) similar to JMA (try to select better settings). So we have all-in-one tool for digital filters (FATL, SATL) and for such powerfull indicator like JMA. I think this indicator will have the good future. Igor
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Let's improve trade skills together http://finance.groups.yahoo.com/group/TrendLaboratory |
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Thank you very much for your instant interaction to the idea! Half of you had suggested Adaptive Moving Averages; this is really a great topic, but unfortunately is a faraway of my idea! I'm the only person to be blamed for insufficient details about the idea! I have to clarify the idea a bit further! What I mean by STMA "Self-Trained-Moving-Average" is: An expert advisor has the ability to test range of parameters to choose the best of them, very like the optimization option in MetaTrader strategy tester. It's a simple neural network related expert advisor that trade the crossover of two moving averages slow and fast however, it can determine the best values of the slow and fast moving averages on the basis of the historical price data! |
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| פורום - STRATEGY BANK | This thread | Refback | 06-07-2008 07:20 PM | |
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