Adaptive, One More Moving Average (OMA) [Loxx]

21 thg 6, 2022

Adaptive, One More Moving Average (OMA) [Loxx] is an adaptive moving average created by Mladen Rakic that changes shape with volatility and momentum

What is the One More Moving Average (OMA)?
The usual story goes something like this : which is the best moving average? Everyone that ever started to do any kind of technical analysis was pulled into this "game". Comparing, testing, looking for new ones, testing ...

The idea of this one is simple: it should not be itself, but it should be a kind of a chameleon - it should "imitate" as much other moving averages as it can. So the need for zillion different moving averages would diminish. And it should have some extra, of course:

The extras:

• it has to be smooth
  
• it has to be able to "change speed" without length change
  
• it has to be able to adapt or not (since it has to "imitate" the non-adaptive as well as the adaptive ones)
  

The steps:

• Smoothing - compared are the simple moving average (that is the basis and the first step of this indicator - a smoothed simple moving average with as little lag added as it is possible and as close to the original as it is possible) Speed 1 and non-adaptive are the reference for this basic setup.
  
• Speed changing - same chart only added one more average with "speeds" 2 and 3 (for comparison purposes only here)
  
• Finally - adapting : same chart with SMA compared to one more average with speed 1 but adaptive (so this parameters would make it a "smoothed adaptive simple average") Adapting part is a modified Kaufman adapting way and this part (the adapting part) may be a subject for changes in the future (it is giving satisfactory results, but if or when I find a better way, it will be implemented here)
  

Some comparisons for different speed settings (all the comparisons are without adaptive turned on, and are approximate. Approximation comes from a fact that it is impossible to get exactly the same values from only one way of calculation, and frankly, I even did not try to get those same values).

• speed 0.5 - T3 (0.618 Tilson)
  
• speed 2.5 - T3 (0.618 Fulks/Matulich)
  
• speed 1 - SMA, harmonic mean
  
• speed 2 - LWMA
  
• speed 7 - very similar to Hull and TEMA
  
• speed 8 - very similar to LSMA and Linear regression value
  

Parameters:
Length - length (period) for averaging
Source - price to use for averaging
Speed - desired speed (i limited to -1.5 on the lower side but it even does not need that limit - some interesting results with speeds that are less than 0 can be achieved)
Adaptive - does it adapt or not

21 thg 6, 2022

Phát hành các Ghi chú

Added MTF

21 thg 6, 2022

Phát hành các Ghi chú

Updated name