Lets discuss techniques for smoothing MAs

[IronFist]

I also have a Sine Weighted MA that is cool because it doesn't have an adjustable period.

I like it for the same reason I like VWAP; you can't screw it up by picking the "wrong" period.

 

[SuperCruz]

An interesting thread, another similar thread discussed on the same point which is as follows:
http://www.elitetrader.com/vb/showthread.php?s=&postid=2130065#post2130065

Can we have your views, please?

 

[killthesunshine]

Quote from IronFist:

Say you've got a moving average that's so fast it melts your face, but it's not the smoothest MA in the world?

How do you smooth it?

Here's my super fast MA after I smoothed it, but it could be smoother. It's the light blue one in this pic. The pink one is a 5 period EMA (OHLC/4), for reference.

why do you want to smooth it? i think this a valid question.

you could put on a MA then ignore it. that's about as smooth as it gets

 

[Corey]

Smoothing a moving average, without adding lag, is really a question of filtering noise while capturing significant price movements.

Looking at time-agnostic data series, like renko charting, was a real help in this area for me. I stopped looking at periods as relative to time, but rather relative to significant movements.

I'll leave it up to the reader to define significant -- I suppose it means something different for everyone with how they want to trade.

 

[MGJ]

The Savitzky-Golay technique, popularized in the very influential book Numerical Recipes, is awfully good at smoothing (in my opinion). It's an FIR filter so you don't need infinite amounts of past data to "prime" it (unlike an IIR filter). Here's the lowdown. Note Figure 14.8.1, the peaks are not attenuated (!!)

http://www.wire.tu-bs.de/OLDWEB/mameyer/cmr/savgol.pdf

 

[pneuma]

For metastock:

Almost Zero Lag Moving Average
Period:= Input("What Period",1,250,10);
EMA1:= Mov(P,Period,E);
EMA2:= Mov(EMA1,Period,E);
Difference:= EMA1 - EMA2;
ZeroLagEMA:= EMA1 + Difference;
ZeroLagEMA

pneuma

 

[IanMacQuaide]

May I suggest www.jurikres.com ?
I"ve seen their Jurik's MA's, and they're VERY nice and smooth.
Faster reaction time too.
Moderators, my apologies if giving the name and link is wrong.
Just delete my post if the rules require it.

 

[kut2k2]

Quote from IanMacQuaide:

May I suggest www.jurikres.com ?
I"ve seen their Jurik's MA's, and they're VERY nice and smooth.
Faster reaction time too.
Moderators, my apologies if giving the name and link is wrong.
Just delete my post if the rules require it.

I don't think there's a problem, I've recommended Jurik in a number of other threads myself. But I think the OP is looking for a free solution. With that in mind, I don't think anything in the public domain is likely to do the trick, unless the OP can figure out how to apply a Kalman filter to his data. :eek:

 

[rosy2]

you dont smooth moving averages. MA are used to smooth data. as someone already stated you can take a longer term MA

 

[murray t turtle]

Quote from IronFist:

Let's discuss free techniques for smoothing MAs

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SMA[simple moving average ]is simply smoother than ema.

200 day moving average is one of the smoother ones around;
smoother than olive oil-thats smooth, for sure

As far as an advantage with moving averages;
may want to put several more on your charts,
,and find several more useful...................................
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