Hi, when I have a system like a cross moving average of two EMAS of 14 and 60 periods. The classic system when the EMA of 14 Periods cross above the EMA of 60 periods go long and viceversa. But I also want to put this filter:
Determined by measuring the amount the price has penetrated the moving averages. How can I program this filter?
Some help please.
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It's just a Chuck Lebeaus idea.It's in the page 98 of the book The Computer Analysys of the Futures Market.
He tells this talking about filters for moving averages:
Filtering signals by price normally means waiting for the price to meet some additional criteria before entering the market. This might be by measuring the distance the price has penetrated the moving average or by measuring the distance that one moving average has crossed over another.