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Variable Averages

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  • Variable Averages

    Yesterday, I read an old newspaper article that gave me the following idea.
    Suppose we want to build a simple trend following system from the crossing of two averages.
    We have:
    FastAve=average(FastLength) and
    SlowAve=average(SlowLength).
    Well, suppose we don't want fixed length, but variable length to better fit to the curve of prices, like:
    FastAve=average(Alfa*FastLength) and
    SlowAve=average(Alfa*SlowLength).
    Alfa is the point.
    We need ideas to calculate Alfa factor.
    Just for example we could use volatility as Atr:
    Alfa=1+((TodayAtr(x)-YesterdayAtr(x))/TodayAtr(x));
    If you have any idea, please share it here on the forum.
    Massimo
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