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Zero Lag Exponential Moving Average
The zero lag exponential moving average (ZLEMA) indicator was created by John Ehlers and Ric Way. As is the case with the double exponential moving average (DEMA) and the triple exponential moving average (TEMA) and as indicated by the name, the aim is to eliminate the inherent lag associated to all trend following indicators which average a price over time. The formula for a given N-Day period and for a given data series is: :\begin \textit &= \frac \\ \textit &= \textit+(\textit - \textit(\text)) \\ \textit &= \textit(\textit, \textit) \end The idea is do a regular exponential moving average In statistics, a moving average (rolling average or running average) is a calculation to analyze data points by creating a series of averages of different subsets of the full data set. It is also called a moving mean (MM) or rolling mean and is ... (EMA) calculation but on a de-lagged data instead of doing it on the regular data. Data is de-lagged by removing the data from "lag" days ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Double Exponential Moving Average
The Double Exponential Moving Average (DEMA) indicator was introduced in January 1994 by Patrick G. Mulloy, in an article in the " Technical Analysis of Stocks & Commodities" magazine: "Smoothing Data with Faster Moving Averages" It attempts to remove the inherent lag associated with Moving Averages by placing more weight on recent values. The name suggests this is achieved by applying a double exponential smoothing which is not the case. The name double comes from the fact that the value of an EMA (Exponential Moving Average In statistics, a moving average (rolling average or running average) is a calculation to analyze data points by creating a series of averages of different subsets of the full data set. It is also called a moving mean (MM) or rolling mean and is ...) is doubled. To keep it in line with the actual data and to remove the lag the value "''EMA of EMA''" is subtracted from the previously doubled ema. The formula is: :\textit = 2 \times \textit - \textit(\textit ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Triple Exponential Moving Average
The Triple Exponential Moving Average (TEMA) indicator was introduced in January 1994 by Patrick G. Mulloy, in an article in the '' Technical Analysis of Stocks & Commodities'' magazine: "Smoothing Data with Faster Moving Averages" It attempts to remove the inherent lag associated to Moving Averages by placing more weight on recent values. The name suggests this is achieved by applying a triple exponential smoothing which is not the case. The name triple comes from the fact that the value of an EMA (Exponential Moving Average) is triple. To keep it in line with the actual data and to remove the lag the value "''EMA of EMA''" is subtracted 3 times from the previously tripled ema. Finally "''EMA of EMA of EMA''" is added. The formula is: :\textit = 3 \times \textit - 3 \times \textit(\textit) + \textit(\textit(\textit)) Because EMA(EMA(EMA)) is used in the calculation, TEMA needs 3 × period - 2 samples to start producing values in contrast to the period samples needed by a r ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Trend Following
Trend following or trend trading is a trading strategy according to which one should buy an asset when its price trend goes up, and sell when its trend goes down, expecting price movements to continue. There are a number of different techniques, calculations and time-frames that may be used to determine the general direction of the market to generate a trade signal, including the current market price calculation, moving averages and channel breakouts. Traders who employ this strategy do not aim to forecast or predict specific price levels; they simply jump on the trend and ride it. Due to the different techniques and time frames employed by trend followers to identify trends, trend followers as a group are not always strongly correlated to one another. Trend following is used by commodity trading advisors (CTAs) as the predominant strategy of technical traders. Research done by Galen Burghardt has shown that between 2000-2009 there was a very high correlation (.97) between tre ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Exponential Moving Average
In statistics, a moving average (rolling average or running average) is a calculation to analyze data points by creating a series of averages of different subsets of the full data set. It is also called a moving mean (MM) or rolling mean and is a type of finite impulse response filter. Variations include: simple, cumulative, or weighted forms (described below). Given a series of numbers and a fixed subset size, the first element of the moving average is obtained by taking the average of the initial fixed subset of the number series. Then the subset is modified by "shifting forward"; that is, excluding the first number of the series and including the next value in the subset. A moving average is commonly used with time series data to smooth out short-term fluctuations and highlight longer-term trends or cycles. The threshold between short-term and long-term depends on the application, and the parameters of the moving average will be set accordingly. It is also used in economi ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
