Squeeze Momentum Indicator [LazyBear] vHMAThis is a remake of the famous LazyBear Indicator, the Squeeze Momentum Indicator.
All i did was take out the SMA's and replace them with HMA's. HMA is a more responsive moving average.
Hull Moving Average.
This is a derivative of John Carter's "TTM Squeeze" volatility indicator, as discussed in his book "Mastering the Trade" (chapter 11).
Black crosses on the midline show that the market just entered a squeeze ( Bollinger Bands are with in Keltner Channel). This signifies low volatility , market preparing itself for an explosive move (up or down). Gray crosses signify "Squeeze release".
Mr.Carter suggests waiting till the first gray after a black cross, and taking a position in the direction of the momentum (for ex., if momentum value is above zero, go long). Exit the position when the momentum changes (increase or decrease --- signified by a color change). My (limited) experience with this shows, an additional indicator like ADX / WaveTrend, is needed to not miss good entry points. Also, Mr.Carter uses simple momentum indicator , while I have used a different method (linreg based) to plot the histogram.
More info:
- Book: Mastering The Trade by John F Carter
Here is the original version:
Indicator
TA Basics: Evolving our Zero Lag Moving Average.In the previous Zero-Lag MA post, we introduced the "mirroring" technique and the associated calculation.
In this post, we will see how we can use the same technique, with a slight variation, to evolve our zero lag moving average line, add more "smoothness" and still maintaining the low lag and fast response to data series changes.
to use the "mirroring" technique, we need to use 2 MA lines with varying speeds - this is essential to produce the delta between the lines, that can then be mirrored around the fast line to produce the final line. in the first example, we used a Simple MA (slow) and a Weighted MA (fast) of the same length to achieve that.
here we introduce a different way of doing that. we will use a Weighted MA of the length (slow) and another Weighted MA of half the length (fast) -- the difference in "speed" between these 2 lines should produce the delta we need, we mirror it around the fast line, and we get our desired Zero-lag line. Check!
then while we're at it, why don't we introduce an additional smoothing just to ensure the new line is not too "broken" and jumpy .. and flows smoothly across the data series. but what length should we use for smoothing?
smoothing length should be enough to make an actual smoothing effect, but not too large else it will introduce lagging on its own. how about 3? usually 3 or 4 are good values for smoothing. A brilliant idea here is to use a number related to the same input length of the original line, which can always be relatively small -- the square root (integer portion) of that original length - and in that case, the user will only need to enter 1 input for the moving average, just the length - everything will be calculated from there. Check again!
I commented the code if you like to follow the simplified build-up of the formula, now that the concept is explained.
the (more complex-looking) 1-line, condensed form of that formula to use is (alert: watch out for the ()'s -- they're tricky :) )
----------------------------------------------
ZLMA_Line = wma((2*wma(close,int(length/2)) - wma(close,length)), int(sqrt(length)))
------------------------------------------
the one thing i do not like about this technique, is that we introduce the use of the half length MA. i do not like to build indicators that make decisions like this on behalf of the trader - the trader wants to analyze the data for a specific length, and we should continue to stick to that consistently across the moving average (or whatever indicator) calculation. I would always be caution about "hardcoding" some optional values (in this case 0.5 * length) within the indicator itself - others may not mind that.
Now to a nice surprise for the patient folks who got so far in this post - Congratulations, we have just discovered the concept and the formula behind the famous Hull Moving Average .. the big thing here is, we just had the opportunity to learn how to create the whole thing ourselves from the ground up step by step, and had fun doing it (I hope!)
-- these posts are meant to provide those who are new to the world of technical analysis and want to learn how and why to build their own technical indicators. i hope some of you find them useful and interesting, and i wish you the best of luck.
Indicator
Strategy
Indicator
Indicator
Moving Averages Linear CombinatorLinearly combining moving averages can provide relatively interesting results such as a low-lagging moving averages or moving averages able to produce more pertinent crosses with the price.
As a remainder, a linear combination is a mathematical expression that is based on the multiplication of two variables (or terms) with two coefficients (also called scalars when working with vectors) and adding the results, that is:
ax + by
This expression is a linear combination , with x/y as variables and a/b as coefficients. Lot of indicators are made from linear combinations of moving averages, some examples include the double/triple exponential moving average, least squares moving average and the hull moving average.
Today proposed indicator allow the user to combine many types of moving averages together in order to get different results, we will introduce each settings of the indicator as well as how they affect the final output.
Explaining The Effects Of Linear Combinations
There are various ways to explain why linear combination can produce low-lagging moving averages, lets take for example the linear combination of a fast SMA of period p/2 and slow simple moving average of period p , the linear combination of these two moving averages is described as follows:
MA = 2SMA(p/2) + -1SMA(p)
Which is equivalent to:
MA = 2SMA(p/2) - SMA(p) = SMA(p/2) + SMA(p/2) - SMA(p)
We can see the above linear combinations consist in adding a bandpass filter to the fast moving average, which of course allow to reduce the lag. It is important to note that lag is reduced when the first moving average term is more reactive than the second moving average term. In case we instead use:
MA = -2SMA(p/2) + 1SMA(p)
we would have a combination between a low-pass and band-reject filter.
The Indicator
The indicator is based on the following linear combination:
Coeff × LeadingMA(length) - (Coeff-1) × LaggingMA(length)
The length setting control both moving averages period, leading control the type of moving average used as leading MA, while lagging control the type of MA used as lagging moving average, in order to get low lag results the leading MA should be more reactive than the lagging MA. Coeff control the coefficients of the linear combination, with higher values of coeff amplifying the effects of the linear combination, negative values of coeff would make a low-lag moving average become a lagging moving average, coeff = 1 return the leading MA, coeff = -1 return the lagging MA. The leading period divisor allow to divide the period of the leading MA by the selected number.
The types of moving average available are: simple, exponentially weighted, triangular, least squares, hull and volume weighted. The lagging MA allow you to select another MA on the chart as input.
length = 100, leading period divisor = 2, coeff = 2, with both MA type = SMA. Using coeff = -2 instead would give:
You can select "Plot leading and lagging" in order to show the leading and lagging MA.
Conclusion
The proposed tool allow the user to create a custom moving averages by making use of linear combination. The script is not that useful when you think about it, and might maybe be one of my worst, as it is relatively impractical, not proud of it, but it still took time to make so i decided to post it anyway.
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
Indicator
