Moving Averages-help!!!

[Interceptor]

I've been backtesting the FTSE, using two moving averages and looking at crossovers for entries and exits. I was laboring under the illusion that, once an average was 'cemented' in place, it didn't move again(as with price). I was mortified this morning to discover that, for the preceding 12 hours or so at least, this is not the case.
My question is, how can you refine a methodology looking for MA crossover setups, when the most recent history is constantly being rewritten?

 

[nine]

Yes. You don't take it until the end of the day. The last segment of the ma must move until the day is finished and the next one starts to print.

If you are serious about moving average crossovers consider using a Hull Ma or T3 Ma for maximum smoothing with minimum lag.

 

[rathcoole_exile]

HMAs

Stay Long/Short when both HMAs are the same colour.
Tighten Stops when one colour changes, but stay in the trade if you can until both change or colour reverts and trade continues in original direction.

I said at the beginning "Stay" not "Go" 'cos I only use these once I'm in a trade, I don't use them as a trigger,
but that's just me, I'm sure they'd work as a trigger, if you can avoid the odd whipsaw ....

good luck, hope it helps

 

[TheBramble]

Whatever timeframe you're using, the MA (whatever flavour MA) is valid only up to the most recently closed bar.


Edit: Second part of this post now resides in MAs ZigZags and Repaints - The Debate
.

 

[Crap Buddist]

I've been backtesting the FTSE, using two moving averages and looking at crossovers for entries and exits. I was laboring under the illusion that, once an average was 'cemented' in place, it didn't move again(as with price). I was mortified this morning to discover that, for the preceding 12 hours or so at least, this is not the case.
My question is, how can you refine a methodology looking for MA crossover setups, when the most recent history is constantly being rewritten?

Can you post a chart with you queries on ,pictures worth a ... n all that... no worries if you cant ..

 

[wasp]

Have a butchers at my journal, that is based (originally) on an HMA crossover strat for FX.

 

[Interceptor]

Thanks to all of you for your responses, though I'm still a little confused!
I've run a 3 month backtest of the FTSE, using a 1 hour candle setting, and comparing my data with today's charts, all of the historical MA positions still hold. Apart that is from the last 24 hours or so.
For instance, the MA crossover @ 6041 at 9pm on 24th April is still exactly the same as it was yesterday. However, the SMA15, which was flatlining across for most of yesterday daytime, has redrawn itself to be dropping for most of yesterday instead. I (wrongly) assumed that once a candle was finished, then the data on that candle was fixed.
Is it merely the last day's data which is a bit twitchy, or does it go deeper than that?
Rathcoole_exile; what's a HMA? I don't seem to have that one on my charting options.

 

[black bear]

Ftse not good for X overs imho = likes to go up and down its days range far to much, like the post above says it is a blunt tool = very !

Price above or below 100 ema 15 & 3 min will help you spot change in overhaul trend even the 3 min tf does not like going under it for long when ftse in one of those range weeks sort of creeping up ever so slow. I have found it a reasonable guild just to make sure your not drifting with any opinion that may be forming in your brain pan during the day (intra day)


Good Luck with it

 

[rathcoole_exile]

what's a HMA? .

Hull moving average as mentioned by Nine above

 

[Interceptor]

I've just taken a look in the Traderpedia, google, and wiki, but cannot find any reference to the Hull MA anywhere. Has anyone got a link I could follow?

 

[rathcoole_exile]

I've just taken a look in the Traderpedia, google, and wiki, but cannot find any reference to the Hull MA anywhere. Has anyone got a link I could follow?

"The Hull Moving Average solves the age old dilemma of making a moving average more responsive to current price activity whilst maintaining curve smoothness. In fact the HMA almost eliminates lag altogether and manages to improve smoothing at the same time."

extract from Alan Hull - Hull Moving Average

 

[rathcoole_exile]

"The Hull Moving Average solves the age old dilemma of making a moving average more responsive to current price activity whilst maintaining curve smoothness. In fact the HMA almost eliminates lag altogether and manages to improve smoothing at the same time."

extract from Alan Hull - Hull Moving Average

and ....

The HMA manages to keep up with rapid changes in price activity whilst having superior smoothing over an SMA of the same period. The HMA employs weighted moving averages and dampens the smoothing effect (and resulting lag) by using the square root of the period instead of the actual period itself…as seen below.

Integer (Square Root (Period)) WMA [2 x Integer (Period/2) WMA (Price) - Period WMA (Price)]

The following formulas for the Hull Moving Average are for MetaStock and Supercharts but can be easily adapted for use with other charting programs that are capable of custom indicator construction.

MetaStock Formula
period:=Input("period",1,200,20);sqrtperiod:=Sqrt(period);Mov(2*Mov(C,period/2,W) - Mov(C,period,W),LastValue(sqrtperiod),W);

SuperCharts Formula
Input: period (Default value 20) waverage (2*waverage (close,period/2)-waverage (close,period), SquareRoot (Period))

A simple application for the HMA, given its superior smoothing, would be to employ the turning points as entry/exit signals. However it shouldn't be used to generate crossover signals as this technique relies on lag

 

[Interceptor]

Great, thanks for that.

 

[Hoggums]

I've found that using closing prices on MAs can give spurious results as it takes no account of the intraday movement. I prefer exponential moving averages. (not that I use them much at all these days)

I much prefer using an EMA on (period_low + period_high) / 2

You could also try EMA's on (period_low + period_high + period_close) /3

or even

(period_low + period_high + period_open + period_close) / 4

I think it's all rather subjective though, and using MA crossovers you are in real danger of missing the start of the trend change by a long way!

 

[mp6140]

I've found that using closing prices on MAs can give spurious results as it takes no account of the intraday movement. I prefer exponential moving averages. (not that I use them much at all these days)

I much prefer using an EMA on (period_low + period_high) / 2

You could also try EMA's on (period_low + period_high + period_close) /3

or even

(period_low + period_high + period_open + period_close) / 4

I think it's all rather subjective though, and using MA crossovers you are in real danger of missing the start of the trend change by a long way!

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all ma xovers will miss the "start" of any good move, simply because they have to come to, and then cross over, which, especially on reversals, is late because they cant keep up with the action.

using a combo of EMA and SMA, i have developed a handy indicator that is very usefull for trending, bullish or bearish, and with the macd added, shows some really nice divergence before an upmove turns into a down move ! The use of the two differing types of ma provide a much more stable "signal line" ma, and then a "fast" xover ma, which seems to work for me.

while i have them for a rapid check, i dont use them for entries or exits, but recognize that there are worse things in the world for newbs to use to trade the higher timeframes --- essentially, while late on both ends, they will give you the "meat" of the move !

mp

 

[Interceptor]

I was hoping to catch onto trends a little late going one way, then get off a little early approaching the end. As you say, just cutting a small portion off in the middle.
I'd been experimenting with a 1 hour candle setting, to try and avoid too much noise, and looking to run positions for a few hours, up to maybe 2 or 3 days.
I was favoring entries on the open of the 2nd candle following a crossover of a 30 day EMA and a 15 day SMA(with a slight negative horizontal shift), and exits on the open of the 2nd candle following crossover of SMA15 and SMA17. 50 point stop/100 point limit.
As these damn charts don't work, it's back to the drawing board(yet again!).
BTW, the charts I've been using are the ones supplied by my SB. I'm not a conspiracy theorist, but..........

 

[wasp]

Not sure how reliable they are for indexes but some metatraders offer FTSE and YM etc.......

Free and indicators galore.

FastOnlineTrading.com - MetaTrader 4, fixed spread, forex, futures and stocks cfds,Water House Capital, Golden Conract (Choose WHC download)

 

[mp6140]

I was hoping to catch onto trends a little late going one way, then get off a little early approaching the end. As you say, just cutting a small portion off in the middle.
I'd been experimenting with a 1 hour candle setting, to try and avoid too much noise, and looking to run positions for a few hours, up to maybe 2 or 3 days.
I was favoring entries on the open of the 2nd candle following a crossover of a 30 day EMA and a 15 day SMA(with a slight negative horizontal shift), and exits on the open of the 2nd candle following crossover of SMA15 and SMA17. 50 point stop/100 point limit.
As these damn charts don't work, it's back to the drawing board(yet again!).
BTW, the charts I've been using are the ones supplied by my SB. I'm not a conspiracy theorist, but..........

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since im not one to use ma's as entry or exit signals, im not the best to talk with, but i do look at the 12ema and 20sma often --- may i suggest you lay out your charts showing a large historical background (BIG, long chart) and experiment with the different ma settings, which "FITS" the ma's to the chart --- not always strong, but usually you will find, because of the nature of the currency pair, that differing ma combos work with differing pairs, and come back every week to check once youve made a decision, because the xovers can change !

are the charts youre using MT4 by any chance ?

mp

 

[Interceptor]

Unfortunately not! I'm using the 'free' ones supplied by my SB.
I know, I know........

 

[mp6140]

Unfortunately not! I'm using the 'free' ones supplied by my SB.
I know, I know........

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so get a demo account from one of the decent brokers or get one from the USA and use that

mp

lol -- i have two charting setups, one is an expensive feed from barclays, going into my quotetracker charting package, and the other is a free demo account from a russian spreadbetter ---- i trade thousands and thousands of dollars just on what the russian charts say and theyre always right !