OPEN-SOURCE SCRIPT
3HMA
Introduction
The Hull smoothing method aim to reduce the lag of a moving average by using a simple calculation involving smoothing with a moving average of period √p the subtraction of a moving average of period p/2 multiplied by 2 with another moving average of period p, however it is possible to extend this calculation by introducing more terms thus reducing both the lag and overshoot of the classical HMA.
Comparison
The proposed filter add 1 more term to the classical hull moving average thus ending with : sma(sma(p/3) * 3 - sma(p/2) - sma(p),p), this can be developed as long as every terms add to total unity, more terms will often require more smoothing, this is why i replace √p by p.
In blue a HMA and in red the proposed filter of both period 50. The third term added allow for more reactivity which sometimes allow for overshoots with lower amplitudes.
Conclusions
Adding more terms to certain filtering methods can correct certain behaviours as well as reducing lag or increasing smoothing.
The Hull smoothing method aim to reduce the lag of a moving average by using a simple calculation involving smoothing with a moving average of period √p the subtraction of a moving average of period p/2 multiplied by 2 with another moving average of period p, however it is possible to extend this calculation by introducing more terms thus reducing both the lag and overshoot of the classical HMA.
Comparison
The proposed filter add 1 more term to the classical hull moving average thus ending with : sma(sma(p/3) * 3 - sma(p/2) - sma(p),p), this can be developed as long as every terms add to total unity, more terms will often require more smoothing, this is why i replace √p by p.
In blue a HMA and in red the proposed filter of both period 50. The third term added allow for more reactivity which sometimes allow for overshoots with lower amplitudes.
Conclusions
Adding more terms to certain filtering methods can correct certain behaviours as well as reducing lag or increasing smoothing.
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Check out the indicators we are making at luxalgo: tradingview.com/u/LuxAlgo/
"My heart is so loud that I can't hear the fireworks"
"My heart is so loud that I can't hear the fireworks"
Aviso legal
As informações e publicações não devem ser e não constituem conselhos ou recomendações financeiras, de investimento, de negociação ou de qualquer outro tipo, fornecidas ou endossadas pela TradingView. Leia mais em Termos de uso.
Script de código aberto
No verdadeiro espirito do TradingView, o autor desse script o publicou como código aberto, para que os traders possam entendê-lo e verificá-lo. Parabéns ao autor Você pode usá-lo gratuitamente, mas a reutilização desse código em publicações e regida pelas Regras da Casa.
Check out the indicators we are making at luxalgo: tradingview.com/u/LuxAlgo/
"My heart is so loud that I can't hear the fireworks"
"My heart is so loud that I can't hear the fireworks"
Aviso legal
As informações e publicações não devem ser e não constituem conselhos ou recomendações financeiras, de investimento, de negociação ou de qualquer outro tipo, fornecidas ou endossadas pela TradingView. Leia mais em Termos de uso.