Sorry, I meant Astor. Anyway, it was mentioned on the JArbitrager
board a while back.
The idea is taking the averaging coefficients used to compute EMA's ( ie
the time periods passed into the constructors)
which are constant and derived via the optimization process and making
them a function of volatility , variance, or standard
deviation of the 'value' for the indicator ? This is Kalman-like in
that the indicator would become more adaptive but you would
get better run-time in the optimizer.
On 12/1/2010 11:56 AM, nonlinear5 wrote:
Eugene,
What about Mike's idea of taking the averaging coefficients used to
compute EMA's
and making them a function of volatility , variance, or standard
deviation of the 'value' ?
I am not sure what post you are referring to, and I don't see anyone
named Mike in this discussion.
--
You received this message because you are subscribed to the Google Groups
"JBookTrader" group.
To post to this group, send email to [email protected].
To unsubscribe from this group, send email to
[email protected].
For more options, visit this group at
http://groups.google.com/group/jbooktrader?hl=en.
