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I've been testing trading systems with lowess for a long time and have yet to find something that works. Lowess is a adaptive, so it will change with the addition of future bars ( it is the best fit taking into account past and future data points). If you plot a lowess on a chart, it is a perfect fit...not so much in real time.


First of all, I do not believe the "optimal smoothing" of an estimator (like the mean or the variance) and the "regression case" are the same. The smoothing of an existing estimator (like mean or variance in the blog post), is an univariate problem, where the regression is a multivariate one. In the regression case, you should be able to change the ...

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