Thx for posting those -- interesting -- so does the code
add/subtract the value of the gap to where the MAs would otherwise
be? Or more complex beyond describing? Asking because I wonder if
we could somehow think this method out visually or arithmetically
even if not code-wise.
bk -- you can't understand the code, its high math. But go
to the Jurik website and look at the JMA moving average. It's
not what matt is using but it will give you the idea -- its a no
lag (or very little lag) moving average that immediately corrects
for a gap.
yeah it basically subtracts the price difference from the
closing price of the previous day from the opening price, and then
adjusts the equations for this in the MA's and PSAR. What
this does is to make the indicators seamless and not affected by
the gaps. If you really think about it, gaps really mess up
all indicators, sometimes it takes hrs for gaps to be worked out of
the indicators, but if you remove them, then it's a seamless
system.
Futures don't have this proplem since they trade 23 hrs a
day, however individual stocks do, and especially the ETFs and
ultra and triple ETF's, they gap huge up or down several times a
week, when that happen
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Thx for posting those --
since a few of you asked, here's some examples of ...
Posted by bkout3 on 10th of Mar 2009 at 01:36 pm
Thx for posting those -- interesting -- so does the code add/subtract the value of the gap to where the MAs would otherwise be? Or more complex beyond describing? Asking because I wonder if we could somehow think this method out visually or arithmetically even if not code-wise.
bk -- you can't understand
Posted by Michael on 10th of Mar 2009 at 01:51 pm
bk -- you can't understand the code, its high math. But go to the Jurik website and look at the JMA moving average. It's not what matt is using but it will give you the idea -- its a no lag (or very little lag) moving average that immediately corrects for a gap.
mine is not Jurik and
Posted by matt on 10th of Mar 2009 at 02:02 pm
mine is not Jurik and is not a zero lag MA. the MA's are simple EMAs with the gap taken out. I actually don't like Jurik's MA's
Matt, What moving averages do you
Posted by poohnana on 10th of Mar 2009 at 02:11 pm
Matt,
What moving averages do you use and on what time frame for this gap system? I could not tell from the charts as they were not all there. Thank
that's pretty cool. Wonder what
Posted by Michael on 10th of Mar 2009 at 02:11 pm
that's pretty cool. Wonder what you don't like about Jurik? Maybe tell me sometime if you have a minute...................
yeah it basically subtracts the
Posted by matt on 10th of Mar 2009 at 01:43 pm
yeah it basically subtracts the price difference from the closing price of the previous day from the opening price, and then adjusts the equations for this in the MA's and PSAR. What this does is to make the indicators seamless and not affected by the gaps. If you really think about it, gaps really mess up all indicators, sometimes it takes hrs for gaps to be worked out of the indicators, but if you remove them, then it's a seamless system.
Futures don't have this proplem since they trade 23 hrs a day, however individual stocks do, and especially the ETFs and ultra and triple ETF's, they gap huge up or down several times a week, when that happen