NexusFi: Find Your Edge


Home Menu

 





Regularized EMA Indicator


Discussion in NinjaTrader

Updated
    1. trending_up 895 views
    2. thumb_up 0 thanks given
    3. group 3 followers
    1. forum 2 posts
    2. attach_file 1 attachments




 
Search this Thread

Regularized EMA Indicator

  #1 (permalink)
 
drtchock's Avatar
 drtchock 
New York
 
Experience: Intermediate
Platform: NinjaTrader
Trading: ES + NQ Futures
Posts: 17 since Jun 2022
Thanks Given: 5
Thanks Received: 16

I'm looking for a regularized EMA for NT8. There's a thread on FIO from 2011 that discusses it, but I can't seem to find anything since then. Is anyone aware of one (free preferably)?

The regularized exponential moving average (REMA or RegEMA) was introduced by Chris Satchwell in July 2003 as a variation on the EMA designed to be smoother but not introduce too much extra lag. I'm sure there are other moving averages that can produce a similar result, but I'm looking for this one specifically. Thanks!

Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
Deepmoney LLM
Elite Quantitative GenAI/LLM
ZombieSqueeze
Platforms and Indicators
Are there any eval firms that allow you to sink to your …
Traders Hideout
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
 
  #2 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
Posts: 344 since Jan 2019
Thanks Given: 20
Thanks Received: 146


drtchock View Post
I'm looking for a regularized EMA for NT8.

8.14 Regularized Exponential Moving Average
The regularized exponential moving average (REMA) by Chris Satchwell is a variation on the EMA (see Exponential Moving Average) designed to be smoother but not introduce too much extra lag. The formula can be given in a number of forms, such as

Rp + alpha*(close - Rp) + lambda*(Rp + (Rp-Rpp))
REMA = ---------------------------------------------
1 + lambda
alpha = N-day smoothing per EMA
Rp = yesterday’s REMA
Rpp = day before yesterday’s REMA
Lambda is a factor controlling the amount of “regularization”.

This form shows how there’s an Rp+alpha*(close-Rp) part like an EMA, and an Rp+(Rp-Rpp) part which projects from yesterday’s REMA according to whether it was rising or falling relative to the REMA of the day before. The two parts are averaged with a weighting 1 for the EMA part and lambda for the projection.

If lambda is zero then REMA is the same as a plain EMA. Satchwell suggests fairly small values for lambda, and the default in Chart is 0.5. John Ehlers noted that if lambda is large REMA becomes unstable.

In any case the result of the calculation is still an average of past prices with a certain set of weights that progressively decrease for older data. The following is the weights for N=15 and lambda=0.5,
https://user42.tuxfamily.org/chart/manual/Regularized-Exponential-Moving-Average.html

Reply With Quote
  #3 (permalink)
 
syswizard's Avatar
 syswizard 
Philadelphia PA
 
Experience: Advanced
Platform: Multicharts
Broker: Ironbeam, Rithmic
Trading: Emini ES / NQ / CL / RTY / YM / BTC
Posts: 344 since Jan 2019
Thanks Given: 20
Thanks Received: 146


Here's an Easy Language implementation...
Green line = REMA, Blue line = EMA.
Lambda = 0.5

Attached Thumbnails
Click image for larger version

Name:	REMA-chart.PNG
Views:	66
Size:	32.8 KB
ID:	327527  
Reply With Quote




Last Updated on October 17, 2022


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts