aptx, the current moving average (SMA) of 32 price periods has a lag (n-1)/2 or about half the length so let's call it 16 bars of lag. So to center the 32 length moving average on the current bar, you need about 16 bars of future price data to ...

Yes this is how a SMA value can be updated dynamically with minimal computation time on each bar. That computed SMA value can then be used as a historical CMA value when back adjusted. As you know, getting the current CMA value isn't so easy. ...

Pretty sure it's just taking the last slope of the known MA and projecting it forward from that point in a straight line. This assumes the future slope is going to be the same on each bar. It's a simplistic assumption but you know that the price ...

Looking at the bottom chart that you posted above, the model is effectively assuming that the moving average will continue with the same slope into the future. This assumption is generally valid when the market is trending but makes the estimate ...

Maybe it's taken me a bit long for the light bulb to turn on regarding the numbers parisboy uses regularly for his MA lengths: 16,32,64,128,256 - all multiples of 2 and related in the following way: 2^4 = 16 2^5 = 32 2^6 = 64 2^7 = 128 2^8 = 256 A ...

I think you're asking the right questions - questions I've asked many times myself as I've worked on this the past couple of years. It's difficult to come up with real-time workable strategy based on these concepts as described by Hurst that fill in ...

Stated another way, the theoretical lag of a simple moving average is (n-1)/2. So to center a 10 period SMA on the price the lag is: (10-1)/2 = 4.5 bars and the MA should be shifted back from the current bar this amount to center it on the chart. As ...

Interesting idea but this is not the reason Hurst did it this way. The reason for using multiples of 2 for moving average lengths relates to the nature of sine waves and cycles and how they interact. I'll attempt to show rather than tell so you can ...

This is a good line of inquiry because it made me think, and I think a lot of people jumped over this in the text (like I did on first read). I read this part in the book several times and I think the answer must be inferred from other concepts ...

If you wish to avoid all combos that have 3 wins or 3 losses you need to understand a bit of simple math and use it to calculate the triangular relationship between the base pairs so you can work out the appropriate formulas for 2 wins/losses vs 1 ...

yoriz, You're asking good questions - ones that I asked a long time ago. There is an essential but long forgotten thread called Systematic Trading and I strongly suggest you read at least the first 20 pages or so. This thread should answer most of ...

Ryan, I've been following you since before you became commercial and I'm not a customer. You added value then and have continued to do so through your free videos, so thanks for that. But this isn't a good take regarding martingale at all. A ...

You're basically saying that you wish to: 1) take some trash input 2) and then perform some alchemy on it (neural network) 3) and hope to create gold in the end. Think about that for a few minutes. Then ponder on the concept known as "overfitting". ...

HyperD: if you're looking for the Kelly formula that includes volatility, you may be searching for continuous Kelly criterion (second link below). I've posted a few thoughts on this a long time ago, including an adaptation of the Kelly continuous ...

A university masters' thesis that centers around Hurst's work? hmmm url

acetrader, thanks for your picture and explanation it makes sense. Also thanks to parisboy for the follow-up pictures that show the bigger picture, and the focal points with their implied 50% location in the current swing. I think this is a solid ...

I'd appreciate hearing your views on this in more detail and studying a chart so I can understand the idea you are describing.

Parisboy: you made two interesting posts a while back on Hurst and his contribution to trading as they relate to moving averages, and I don't think there was much discussion on these, so I'll highlight a couple of points. The info provided by Hurst ...

Thanks for posting this old work of Dewey. After scanning the material, I now know why Hurst is a household trader name and Dewey is not. My observation is that Dewey seems to be into descriptive statistics. Hurst's "Profit Magic" book is much more ...

parisboy, you mean you're not??? But seriously, you are very well read, and knowledgeable about many cycle related works and subjects and have selflessly shared that knowledge extensively here in this thread and elsewhere. The ...