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Jim Dean

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Joined: 3/13/2006
Location: L'ville, GA

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Subject : Hull MA calcs vs Classic for Wma & Ema
Posted : 2/6/2019 11:30 AM
Post #30287

Salim emailed me an interesting article that does a "good" study of Lag & Smoothness for a wide variety of Moving Average calc-types. Here's the link for it (pdf is attached) ...
https://pdfs.semanticscholar.org/257b/837649d8b50662b3fe2c21fce825a1...

His purpose for bringing it to my attention was in relation to some TradeTight routines (MTV, CVW, etc) whose algorithms are closely tied to slope and stack "voting", using a family of moving averages. I've typically used Wma, occasionally Sma, and fairly often a "bounded" Ema (see info in link below re bounding) ... presumably this was a suggestion that I consider using alternative MA calc-types to improve performance.

Click Here for my evaluation of how this can be implemented in OLang, and a bunch of snapshots of comparisons on OT's charts, and OLang code you can use to duplicate it.

[Edited by Jim Dean on 2/6/2019 11:32 AM]

Attached file : Moving Average Analysis.pdf (272KB - 368 downloads)

Deleting message 30287 : Hull MA calcs vs Classic for Wma & Ema


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