TAILIEUCHUNG - Ehlers, John - Cybernetics Analysis For Stock And Futures_10

Tham khảo tài liệu 'ehlers, john - cybernetics analysis for stock and futures_10', tài chính - ngân hàng, đầu tư chứng khoán phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | 238 CYBERNETIC ANALYSIS FOR STOCKS AND FUTURE nPrice high low 2 aPriceArray 0 nPrice aLead 0 2 aPriceArray 0 Alphal - aPriceArray 1 - Alphal aLead 1 aNetLead 0 Alpha2 aLead 0 - Alpha2 aNetLeadtl aEMA 0 aPriceArray 0 aEMA l return the calculated values if isNaN aNetLead 0 isNaN aEMA 0 nBarCount 20 return new Array aNetLead 0 aEMA 0 FIGURE Continued Leading Indicators 239 FIGURE Leading Indicator al a2 and EMA FIGURE Leading Indicator al a2 and EMA Provides a Clearer Picture of the Trend Continuation 240 CYBERNETIC ANALYSIS FOR STOCKS AND FUTURES KEY P0IYT8 TO REMEMBER Adding the difference between price and an exponential moving average to the price itsetf creates a leading indicator. The leading indicator always has noise gain. Smoothing the leading indicator with another exponential moving average can mitigate noise gain. Constants can be selected to provide a net lead for the indicator at low frequencies. The leading indicator has a lagging signal at price turning points. II 17 Simplifying Simple Moving Average Computations One topic has to be last said Tom finally. A simple moving average SMA of length AT is computed by adding N values and dividing the sum by N. The process is repeated on a bar-by-bar basis. What could be easier While conceptually easy the coding for long moving averages can be tedious because there are so many terms. The tedium can be reduced by putting the summation in a loop. But looping is difficult to do in some applications such as Excel. Another simplifying approach is to drop off the oldest value and add a new value to the moving average. But this requires computing the initial value of the long moving average at least once. I will show you two ways to compute the SMA with ease. In z transform notation a unit delay is represented by z1. The transfer response is the output of the filter divided by its input. Thus the transfer response of an eight-bar SMA would be written as H z 1