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zerolag WMA


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zerolag WMA

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  #1 (permalink)
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Does anyone know of a zerolag WMA indicator that changes color with up/down slope? Thanks

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Market Wizard
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Not sure if this is what you're looking for but @Sylvester17 posted this version back in 2014 that has mutltiple MA choices including a WMA.



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TGN

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  #4 (permalink)
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Thanks for that but I do have that one. I'm looking for a zerolag WMA that changes colors with slope. i believe this one is a standard WMA.

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jwhtrades View Post
Thanks for that but I do have that one. I'm looking for a zerolag WMA that changes colors with slope. i believe this one is a standard WMA.

If by standard you mean color change based on Rising / Falling you are correct.
My mistake you did ask for Slope.

I thought you might make the change yourself by replacing this code with your own Slope criteria.:

if (Values[0][0] > Values[1][0])
{
PlotColors[0][0] = maColorUp;
PlotColors[1][0] = maColorUp1;
}
else if (Values[0][0] < Values[1][0])
{
PlotColors[0][0] = maColorDown;
PlotColors[1][0] = maColorDown1;
}
else
{
PlotColors[0][0] = PlotColors[0][1];
PlotColors[1][0] = PlotColors[1][1];
}

With your own Slope criteria.
TGN

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Alas I am not that gifted and I'm looking for a zero lag version of the WMA in addition to the slope color change. Thanks for your help and taking the time to reply.

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Market Wizard
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Do you have another indicator that you think is "Zero Lag"?
WMA by it's nature is "almost" zero lag, but I'm not certain what you're looking for.

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You might be right. I have tried zero EMA, HMA, TEMA and came close to what I'm trying to emulate with the WMA. Was thinking that a zero lag WMA might bring me closer, that's all. Sorry to be such a bother.

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jwhtrades View Post
You might be right. I have tried zero EMA, HMA, TEMA and came close to what I'm trying to emulate with the WMA. Was thinking that a zero lag WMA might bring me closer, that's all. Sorry to be such a bother.

You're not being a bother, I'm just trying to understand what you're looking for.

I'm not sure what you mean by "closer", closer to what?
[I have to assume too much based on your post. Clarity always helps.]
I'll help if I can.

TEMA - is this a Tillson EMA? [That's virtually a zero lag indicator]
HMA - if this is a Hull MA [This would be close to zero lag as well]

Let me know,

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jwhtrades View Post
Does anyone know of a zerolag WMA indicator that changes color with up/down slope? Thanks

Please help keep the forum organized.

Either use the existing "Want your indicator created free" thread:


Or, use the appropriate forum section (NinjaTrader).

I have moved the thread.

Mike

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Market Wizard
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If you ask for a Zerolag WMA, this is probably simple to code, but we would first need to specify which moving average you consider being a standard Zerolag average.

Zerolag averages are usually calculated by trying to minimize the error term of a standard exponential moving average. One of the formulae you will find is

(1) basic formula

k = 2/(n+1), lag = (n-1)/2
ZLEMA = k * (2 * Close[0] - Close[lag]) + (1-k) * ZLEMA[1]

This indicator already ships with NinjaTrader as ZLEMA.

(2) formula suggested by John Ehlers

https://www.mesasoftware.com/papers/ZeroLag.pdf

(3) DEMA & TEMA by Patrick Mulloy, 1994

The double exponential moving average DEMA and the triple exponential moving average also reduce the lag and make an adjustment for an error term.


Which of the above are you talking about?

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  #12 (permalink)
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Thanks Harry,

TopGun suggested the irSuperSmoother indicator which I believe is what you're suggesting here. The result was very close to the proprietary moving average so for now I think I'm fine with using that.

Cheers,
John



Fat Tails View Post
If you ask for a Zerolag WMA, this is probably simple to code, but we would first need to specify which moving average you consider being a standard Zerolag average.

Zerolag averages are usually calculated by trying to minimize the error term of a standard exponential moving average. One of the formulae you will find is

(1) basic formula

k = 2/(n+1), lag = (n-1)/2
ZLEMA = k * (2 * Close[0] - Close[lag]) + (1-k) * ZLEMA[1]

This indicator already ships with NinjaTrader as ZLEMA.

(2) formula suggested by John Ehlers

https://www.mesasoftware.com/papers/ZeroLag.pdf

(3) DEMA & TEMA by Patrick Mulloy, 1994

The double exponential moving average DEMA and the triple exponential moving average also reduce the lag and make an adjustment for an error term.


Which of the above are you talking about?


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jwhtrades View Post
Thanks Harry,

TopGun suggested the irSuperSmoother indicator which I believe is what you're suggesting here. The result was very close to the proprietary moving average so for now I think I'm fine with using that.

Cheers,
John

The Supersmoother is another concept put forward by John Ehlers. It is a filter which is derived from Butterworth filters by retaining the IIR part.

The Butterworth filter itself is not a filter with particularly low lag. For example Gaussian filters have a reduced lag, when compared to Butterworth filters.

Therefore I would neither call the SuperSmoother nor the Butterworth filter a zerolag moving average.

Furthermore those averages have little to do with an EMA, and you therefore cannot replace the EMA with a WMA in the formula.

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The irSuperSmoother actually comes the closes to any of the moving averages that I've tried to match the signal line in the side by pictures I originally posted.

Thanks for the info on zero lag. I've downloaded the material and will read about that for future reference.

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jwhtrades View Post
The irSuperSmoother actually comes the closes to any of the moving averages that I've tried to match the signal line in the side by pictures I originally posted.

Thanks for the info on zero lag. I've downloaded the material and will read about that for future reference.

You did not post any pictures.

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Sorry, senior moment. I posted the side by side in my private messages to TopGunNote.

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Screenshot shows my attempt to mimic the signal line from the proprietary (unknown moving average) using the WMA set to period 5 with the anaSuperSmootherIndicator filtering with setting shown in the screenshot. My attempted duplicated signal line is solid white with the proprietary signal line red/green dashed line shown underneath the solid white line. They are very close.

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Market Wizard
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@jwhtrades what Fat Tails has said to you is correct in that the Ehlers Super Smoother is not a zero lag moving average, it was developed to "smooth and filter" signals as its name suggests.
When I responded to your original post I put forward the irSuperSmootherFilter [something I modified from another indicator] as an idea to help you in your search for a "close match" to a "zero lag" indicator.

Using the SuperSmoother by itself is one solution since the indicator is known to follow pice closely [note how it tracks in the middle of the price candles], similar to a Hull moving average or a Tillson. So not "zero lag" but a cleaner signal with reduced "noise".

If you look at the attached screenshots you can see a chart with 3 moving averages, a ZLEMA [Red on the chart], an EMA [White on the chart] and the irSuperSmootherFilter [LimeGreen (rising) Fuchsia (falling)].

In my experience the Ehlers Super Smoother approach does a great job in smoothing signals making them easier to work with (visually), so you might want to try using the indicator I sent you to "filter" some other "moving averages" until you find one that works for your requirements. *Note* The ZLEMA already has been "smoothed" somewhat by the nature of its code so the result won't be dramatic, but you can see the result on the second screenshot.

You can accomplish this in Ninja Trader by changing the "Input Series" settings under "Data" on an indicator
[see second screenshot], to tie your indicator to a "filter".

I hope this helps you on your quest.
Trade well,
TGN

Attached Thumbnails
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Name:	Filtered by SuperSmoother.png
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Name:	Comparison.png
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ID:	199679  
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