The Moving Trend by William Rafter
Here’s a look at a nonlagged filter that can be used as a forecasting tool.
Data smoothing has long been likened to taking the first generation of allergy medication. The medication relieved the symptoms, but slowed you down so much that the effect seemed worse than the original allergic discomfort. For years, I have been using a data smoother called the “moving trend,” which is the market’s best forecast — based on a previous trend — of where the price level should be today. It proved to
greatly diminish the lag problem. John Ehlers’ article in the July 2002 STOCKS & COMMODITIES prompted me to look at the moving trend operation (movtrend) a little differently. In the process, I learned something worth sharing.