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Moving Average


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Moving Average

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  #1 (permalink)
Kush
San Sebastian/Spain
 
 
Posts: 12 since Sep 2011
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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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  #3 (permalink)
 bluemele 
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Kush View Post

Determined by measuring the amount the price has penetrated the moving averages. How can I program this filter?
Some help please.

What do you mean by the previous statement?

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  #4 (permalink)
 Lornz 
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bluemele View Post
What do you mean by the previous statement?

I assume he is entering at the close of the first bar > MA crossover point and want to avoid entering if the price is too far away from it.

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 Big Mike 
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Using the standard deviation probably makes sense to equate the 'distance' portion.

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  #6 (permalink)
Kush
San Sebastian/Spain
 
 
Posts: 12 since Sep 2011
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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.

How can I program these filters?

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