Zero Lag Moving Averages

[phase21 10]

Hi All,

 

Having looked at the thread on Hull MA, I thought this might be of interest to others.

 

When I got interested in technical analysis, I was very keen on using indicators, etc, like most newbies, and came across the following formula for significantly reducing the lag inherent in moving averages.

 

That was a while ago, and am now more interested in reading price and volume, but thought others might be able to make better use of it than I have.

 

The basic formula is:

&EMAOne := MovingAvgMethod (Close , Periods , 2)

&EMATwo := MovingAvgMethod (&EMAOne , Periods , 2)

&Diff := &EMAOne - &EMATwo

&EMAOne + &Diff

 

Replace "MovingAvgMethod" with whatever MA you prefer.

 

And here's a pic comparing several different MAs with/out Zero Lag, including Hull:

 

Regards,

[Minetoo 10]

phase21, please post the eld's (or code) for your zero lag Hull and EMAs.

[phase21 10]

Hello Minetoo,

 

The code I posted above is a direct copy from a function in Trade Navigator. I use TN for trading and quick prototyping of ideas. You can define functions in TN, but it doesn't have a programming language to speak of.

 

However, you should be able to plonk this code/algorithm into a template you use for defining functions in your favourite software, hence no "*.eld".

 

But, below is some code which does the same thing in AmiBroker. AB has a "C"-like programming language.

 

Define the function:

/*=============================================================================

Zero-Lag Moving Averages

 

This AFL contains functions to calc moving averages with minimal lag.

=============================================================================*/

 

//-----------------------------------------------------------------------------

function ZeroLagMovingAvg(ValToSmooth, BarsToUse)

/*

This AFL smooths the input data, and then removes as much lag as possible.

 

Note: Original source of the formula not known.

-----------------------------------------------------------------------------*/

{

// Declare local variables

local result ;

local MAOne ;

local MATwo ;

local MADiff ;

 

// Initialise the local variables.

result = Null ;

 

// Your code goes in here

MAOne = MA(ValToSmooth , BarsToUse) ;

MATwo = MA(MAOne , BarsToUse) ;

MADiff = MAOne - MATwo ;

result = MAOne + MADiff ;

 

// Declare which variable/value to be returned to the user/calling function

return result ;

}

 

 

Call the function:

/*=============================================================================

Zero-Lag Moving Averages

 

This AFL plotts the moving averages with minimal lag.

=============================================================================*/

 

#pragma nocache ;

#include_once <ZeroLagMovingAvg.afl> ;

 

ValToSmooth = ParamField("Price field", 3) ;

BarsToUse = Param("Bars to use", 13, 2, 1000, 1, 1) ;

SmoothedVal = ZeroLagMovingAvg(ValToSmooth, BarsToUse) ;

 

Plot(SmoothedVal, "ZeroLagMovingAvg", colorBlue, styleLine | styleDots | styleThick, 0, 0, 0) ;

 

 

Note: I tend to define things as componentised as possible, a-la building blocks, and draw them all together as late as possible/appropriate. That way I can separate the visuals from the calcs.

 

 

Regards,