Forum on trading, automated trading systems and testing trading strategies
How to start with MetaTrader and forex, the beginning
Sergey Golubev, 2017.09.04 10:08
Are you newbie to forex, to MT5/MT4 or to this mql5 portal?
This is the small thread about where to start:
----------------Where Do I start from?
Suggestions for Trading System
Sergey Golubev, 2017.08.27 08:01
The forum threads
The Hodrick-Prescott filter is used in macroeconomics, especially in real business cycle theory to separate the cyclical component of a time series from raw data. It has a zero lag. There is a common disadvantage of such zero lag filters - the recent values are recalculated.More information on one sided HP filter you can find here : statistics - Hodrick–Prescott filter (one-sided version) - Mathematica Stack Exchange or here time series - Formula for one-sided Hodrick-Prescott filter - Cross Validated and in pdf file attached to this post.
Forum threads (thanks to mladen)
Of adaptive lookback
The Adaptive Lookback (period finder) is truly a market-driven indicator used to determine the variable lookback period for many different indicators, instead of a traditional, fixed figure.
It is based on the frequency of market swings - the time between swing highs or swing lows. A swing high is defined as two consecutive higher highs followed by two consecutive lower highs; a swing low is defined by two consecutive lower lows followed by two consecutive higher lows. As swing points typically accompany reversals, they occur more frequently in choppier and volatile markets than in trends.
Adaptive lookback period is determined as :
This makes the variable lookback period grow in calm or trending markets, and shorten in range-bound and volatile markets. For a trend-following system you would like the opposite to prevent being whipsawed, therefore this indicator and it's usage as a period modifier is more suitable for short-term traders and counter-trend systems (so, in all systems where maximal speed of reaction and signaling is required).
Experiment with applying the adaptive lookback period to different indicators and you'll see how more responsive they become in volatile markets. Some of the experiments are going to be posted on this thread with immediate comparison to "non-adaptive" counterparts
Do not be confused with the name: The "dynamic zone" indicators floating on the net have almost nothing common at all with these indicators posted/coded by Mladen here based on Stocks & Commodities July 1996 issue.
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