Intraday Trading : Exp. Moving Avg.
This page last changed on Aug 22, 2008 by email@example.com.
Some plots for M = 300 are shown below:
A good profit on an intra-day trade would be 50 basis points (bps). For a stock like GS (on July 10) that is selling for 170 a share, 50 bps = 170 * 0.005 = $0.85 profit per share.
There is a lot of lag in the plots above. Ed was having me use a window of seven ticks to recognize a turn around, which is clearly not correct for a signal with this amount of smoothness.
The plots below are for M = 50