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ZeroLagTEMA, ZeroLagDEMA


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ZeroLagTEMA, ZeroLagDEMA

  #1 (permalink)
 
Laurent's Avatar
 Laurent 
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I'm looking for the good formulas for these moving averages...

For the ZeroLagTEMA is it....

1.


Quoting 
Inputs:
Series ( NumericSeries ),
Len ( NumericSimple );

Variables:
TEMA0 ( 0 ),
TEMA1 ( 0 );

TEMA0 = TEMA(Series, Len);
TEMA1 = TEMA(TEMA0, Len);

ZeroLagTEMA = TEMA0 + (TEMA0 - TEMA1);

or

2.

Quoting 
Inputs:
Series ( NumericSeries ),
Len ( NumericSimple );

Variables:
TEMA0 ( 0 ),
TEMA1 ( 0 ),
ZL (0);

TEMA0 = TEMA(Series, Len);
TEMA1 = TEMA(TEMA0, Len);

ZL = TEMA0 + (TEMA0 - TEMA1);
ZeroLagTEMA = TEMA(ZL, Len);

For the ZeroLagDEMA is it....

Quoting 
Inputs:
Series ( NumericSeries ),
Len ( NumericSimple );

Variables:
DEMA0 ( 0 ),
DEMA1 ( 0 );

DEMA0 = DEMA(Series, Len);
DEMA1 = DEMA(DEMA0, Len);

ZeroLagDEMA = DEMA0 + (DEMA0 - DEMA1);

or

2.


Quoting 
Inputs:
Series ( NumericSeries ),
Len ( NumericSimple );

Variables:
DEMA0 ( 0 ),
DEMA1 ( 0 ),
ZL ( 0 );

DEMA0 = DEMA(Series, Len);
DEMA1 = DEMA(DEMA0, Len);

ZL = DEMA0 + (DEMA0 - DEMA1);
ZeroLagDEMA = DEMA(ZL, Len);


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  #3 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
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A short answer first:

There is no such thing as a ZeroLag moving average. The only indicator that has zerolag is price itself, unless you make an assumption on the underlying data series to be a perfect trendline or sinoidal cycle.

The moving average produces smoothing and pays for it by introducing a lag.

The various methods to reduce the lag produce low lag moving averages as they should be called correctly. Possibly there is an infinite variety of low lag moving averages, so there cannot be any correct formula.

You can test on your chart, whether the above moving averages are low lag moving averages or not.

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 ThatManFromTexas 
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Fat Tails View Post
A short answer first:

There is no such thing as a ZeroLag moving average. The only indicator that has zerolag is price itself, unless you make an assumption on the underlying data series to be a perfect trendline or sinoidal cycle.

The moving average produces smoothing and pays for it by introducing a lag.

The various methods to reduce the lag produce low lag moving averages as they should be called correctly. Possibly there is an infinite variety of low lag moving averages, so there cannot be any correct formula.

You can test on your chart, whether the above moving averages are low lag moving averages or not.

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I bet you tell children there is no Santa Clause either...

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