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loxx
2022년 6월 17일 오후 2시 15분

Adaptive, Jurik-Filtered, JMA/DWMA MACD [Loxx] 

U.S. Dollar/Canadian DollarFXCM

설명

Adaptive, Jurik-Filtered, JMA/DWMA MACD [Loxx] is MACD oscillator with a twist. The traditional calculation of MACD is the between two EMAs of price. This traditional approach yields a very noisy and lagged signal. To solve this problem, JMA/DWMA MACD uses the difference between adaptive Juirk-Filtered price and adaptive DWMA to yield a marked improvement over traditional MACD.

What is JMA / DWMA oscillator (MACD)?
Of all the different combinations of moving average filters to use for a MACD oscillator, we prefer using the JMA - DWMA combination.

JMA is ideal for the fast moving average line because it is quick to respond to reversals, is smooth and can be set to have no overshoot. DWMA (double weighted moving average) is ideal for the slower line as is tends to delay reversing direction until JMA crosses it.

What is Jurik Volty used in the Juirk Filter?
One of the lesser known qualities of Juirk smoothing is that the Jurik smoothing process is adaptive. "Jurik Volty" (a sort of market volatility ) is what makes Jurik smoothing adaptive. The Jurik Volty calculation can be used as both a standalone indicator and to smooth other indicators that you wish to make adaptive.

What is the Jurik Moving Average?
Have you noticed how moving averages add some lag (delay) to your signals? ... especially when price gaps up or down in a big move, and you are waiting for your moving average to catch up? Wait no more! JMA eliminates this problem forever and gives you the best of both worlds: low lag and smooth lines.

Ideally, you would like a filtered signal to be both smooth and lag-free. Lag causes delays in your trades, and increasing lag in your indicators typically result in lower profits. In other words, late comers get what's left on the table after the feast has already begun.

What is an adaptive cycle, and what is Ehlers Autocorrelation Periodogram Algorithm?
From his Ehlers' book Cycle Analytics for Traders Advanced Technical Trading Concepts by John F. Ehlers , 2013, page 135:
"Adaptive filters can have several different meanings. For example, Perry Kaufman’s adaptive moving average ( KAMA ) and Tushar Chande’s variable index dynamic average ( VIDYA ) adapt to changes in volatility . By definition, these filters are reactive to price changes, and therefore they close the barn door after the horse is gone.The adaptive filters discussed in this chapter are the familiar Stochastic , relative strength index ( RSI ), commodity channel index ( CCI ), and band-pass filter.The key parameter in each case is the look-back period used to calculate the indicator. This look-back period is commonly a fixed value. However, since the measured cycle period is changing, it makes sense to adapt these indicators to the measured cycle period. When tradable market cycles are observed, they tend to persist for a short while.Therefore, by tuning the indicators to the measure cycle period they are optimized for current conditions and can even have predictive characteristics.

The dominant cycle period is measured using the Autocorrelation Periodogram Algorithm. That dominant cycle dynamically sets the look-back period for the indicators. I employ my own streamlined computation for the indicators that provide smoother and easier to interpret outputs than traditional methods. Further, the indicator codes have been modified to remove the effects of spectral dilation.This basically creates a whole new set of indicators for your trading arsenal."

Included
- Toggle on/off bar coloring

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Updated formula
코멘트
thehamsauce
if you set the auto lengths to exactly match the fixed lengths, you get slightly different results between auto and fixed. Is that expected?
aswinikumar_t
Thanks for the sharing your effor for the benefit of all, can you help to point out how this indicator can be used independently for trading entry /Exit and what other indicators do you recommend to be used in conjuction with this indicator. Thank you in Advance.
Best Regards
Aswini
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