Optimal Filter
Optimal Filter
Moving averages are often criticized for merely telling a story of the past. But those who study company reports to make investments are also drawing inferences from a historical narrative. In life, all we have is past data.
But accepting this doesn’t mean we can’t improve the probabilities.
Often traders add more than one average to a chart, or even multiple averages, hoping that a consensus of opinion will point the way. Lines curve across their chart in all directions like a Jackson Pollock painting. The message of the market becomes blurred; decision factors increase; discord replaces harmony.
One plot, multiple period lengths
At
Optimal Ninja, we substituted multiple moving averages with a single plot that is able to determine the most appropriate lookback period.
On each bar,
Optimal Filter
analyses its prior effectiveness at isolating the dominant cycle length and recalibrates when this effectiveness changes.
Input-parameters are limited to the minimum and maximum period lengths that you wish the logic to consider.
As with Optimal Renko
Bars, this means complex comparative analysis behind the scenes, but a single information stream on the chart.
Optimal Filter
Moving averages are often criticized for merely telling a story of the past. But those who study company reports to make investments are also drawing inferences from a historical narrative. In life, all we have is past data.
But accepting this doesn’t mean we can’t improve the probabilities.
Often traders add more than one average to a chart, or even multiple averages, hoping that a consensus of opinion will point the way. Lines curve across their chart in all directions like a Jackson Pollock painting. The message of the market becomes blurred; decision factors increase; discord replaces harmony.
One plot, multiple period lengths
At
Optimal Ninja, we substituted multiple moving averages with a single plot that is able to determine the most appropriate lookback period.
On each bar,
Optimal Filter
analyses its prior effectiveness at isolating the dominant cycle length and recalibrates when this effectiveness changes.
Input-parameters are limited to the minimum and maximum period lengths that you wish the logic to consider.
As with
Optimal Renko
Bars, this means complex comparative analysis behind the scenes, but a single information stream on the chart.
Session Gaps
If you trade a market prone to session opening gaps, such as index futures, you will probably be familiar with your moving average spiking into empty space at the start of the day, a distance from the market.
Sometimes price action will even move to fill the gap and yet your average barely registers that reversal.
Large opening gaps can be so distortionary to price indicators that they can feel unfit for purpose. Of course, the logic is functioning correctly, but it functions best with contiguous data, not data sets that produce large outliers.
As with Optimal Renko
Bars, this means complex comparative analysis behind the scenes, but a single information stream on the chart.
Optimal Filter
mitigates this problem by incorporating
opening gap recognition
into its algorithm. This results in meaningful plots from the session open, which helps you make decisions based upon price action today, not yesterday. This is a crucial distinction.
Intraday trading favours those with tools that are sensitive to contemporaneous data.
Session Gaps
If you trade a market prone to session opening gaps, you will probably be familiar with your moving average spiking into empty space at the start of the day, a distance from the market.
Sometimes price action will even move to fill the gap and yet your average barely registers that reversal.
Large opening gaps can be so distortionary to price indicators that they can feel unfit for purpose. Of course, the logic is functioning correctly, but it functions best with contiguous data, not data sets that produce large outliers.
Optimal Filter mitigates this problem by incorporating
opening gap recognition
into its algorithm. This results in meaningful plots from the session open, which helps you make decisions based upon price action today, not yesterday. This is a crucial distinction.
Intraday trading favours those with tools that are sensitive to contemporaneous data.
Risk Disclosure –Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial
investment. Risk capital is money that can be lost without jeopardizing one's financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.
Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results.
Trademarked Materials – “NinjaTrader® is a registered trademark of NinjaTrader Group, LLC. No NinjaTrader company has any affiliation with the owner, developer, or provider of the products or services described herein or any interest, ownership or otherwise, in any such product or service, or endorses, recommends or approves any such product or service.”
Testimonials – Testimonials appearing on this website may not be representative of other clients or customers and is not a guarantee of future performance or success.
Risk Disclosure –Futures and forex trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial
investment. Risk capital is money that can be lost without jeopardizing one's financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.
Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results.
Trademarked Materials – “NinjaTrader® is a registered trademark of NinjaTrader Group, LLC. No NinjaTrader company has any affiliation with the owner, developer, or provider of the products or services described herein or any interest, ownership or otherwise, in any such product or service, or endorses, recommends or approves any such product or service.”
Testimonials – Testimonials appearing on this website may not be representative of other clients or customers and is not a guarantee of future performance or success.
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