Comments on: Building Your Own Trading System – Part 5

By: js

js — Tue, 28 Jul 2009 05:55:21 +0000

Hi,

I’am new in the trading community and I’am very
impressed about your blog. I googled your side
with the ‘python’ and ‘finance’ keywords.

Do you have some examples about your python
filter algorithm? I work with python too and so
I’am interessted about your LOESS python filter
code.

–js

By: admin

admin — Mon, 06 Apr 2009 04:46:54 +0000

Hello,

From what I have seen, the line will move around as new data is added. This is because Loess smoothing attempts to fit a high order polynomial to the data. In practice, Loess smoothing seems to work best for trending markets, so it is probably not such a big issue.

By: larry

larry — Mon, 16 Mar 2009 21:27:05 +0000

Hi- When one uses a loess filter in trading, and a new data point appears (like today’s close) does the entire time series line that was already on the chart “morph” slightly into a new line, or does the line remain stable and unchanged from the day and week before?
Thanks,
Larry Perlman
larryperlman@optonline.net