STD-Filtered, Adaptive Exponential Hull Moving Average [Loxx]

2022년 9월 13일

STD-Filtered, Adaptive Exponential Hull Moving Average [Loxx] is a Kaufman Efficiency Ratio Adaptive Hull Moving Average that uses EMA instead of WMA for its computation. I've also added standard deviation stepping to further smooth the signal. Using EMA instead of WMA turns the Hull into what's called the AEHMA. You can read more about the EHMA here: eceweb1.rutgers.edu/~orfanidi/aosp/aosp-ch06.pdf

What is the traditional Hull Moving Average?
The Hull Moving Average (HMA) attempts to minimize the lag of a traditional moving average while retaining the smoothness of the moving average line. Developed by Alan Hull in 2005, this indicator makes use of weighted moving averages to prioritize more recent values and greatly reduce lag. The resulting average is more responsive and well-suited for identifying entry points.

What is Kaufman's Efficiency Ratio?

The Efficiency Ratio (ER) was first presented by Perry Kaufman in his 1995 book ‘Smarter Trading‘. It is calculated by dividing the price change over a period by the absolute sum of the price movements that occurred to achieve that change. The resulting ratio ranges between 0 and 1 with higher values representing a more efficient or trending market.

The value of the ER ranges between 0 and 1. It has the value of 1 when prices move in the same direction for the full time over which the indicator is calculated, e.g. n bars period. It has a value of 0 when prices are unchanged over the n periods. When prices move in wide swings within the interval, the sum of the denominator becomes very large compared to the numerator and ER approaches zero.

Some uses for ER:

• A qualifier for a trend following trade; a trend is considered “persistent” only when RE is above a certain value, e.g. 0.3 or 0.4 .
  
• A filter to screen out choppy stocks/markets, where breakouts are frequently “fakeouts”.
  
• In an adaptive trading system, helping to determine whether to apply a trend following algorithm or a mean reversion algorithm.
  
• It is used in the calculation of Kaufman’s Adaptive Moving Average (KAMA).
  

How to calculate the Hull Adaptive Moving Average (HAMA)

• Find Signal to Noise ratio (SNR)
  
• Normalize SNR from 0 to 1
  
• Calculate adaptive alphas
  
• Apply EMAs
  

Included

• Bar coloring
  
• Signals
  
• Alerts
  
• Loxx's Expanded Source Types
  

2022년 9월 13일

릴리즈 노트

Naming updates.

2022년 9월 13일

릴리즈 노트

Corrected for loop count.