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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!
Can you help answer these questions from other members on NexusFi?
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.