Moving Average Smoothness Benchmark

24 thg 12, 2018

Hey there!

This tool will help you to choose a moving average/filter that has the lowest lag throughout the whole history for the specified period.

What does it do?
It calculates the mean absolute errors for each moving average or filter and shows histogram with results. The lower error the lower lag of the moving average.
So, the best average will be at the end of the list of labels on the chart.

Settings
The main setting is a period for all moving averages.
Additionally, it allows to customize some multi-parametric moving average such as JMA, ALMA, McGinley Dynamic, Tillson's T3, REMA, Adaptive Laguerre Filter, Hampel Filter, Recursive Median Filter and Middle-High-Low MA.

NOTE: The results may vary on the different tickers and timeframes. This tool measures the performances on the current ticker and on the current timeframe.

Supported averages/filters (use short titles to match movings on the chart)

• SMA, Simple MA
  
• EMA, Exponential MA
  
• WMA, Weighted (Linear) MA
  
• RMA, Running MA (by J. Welles Wilder)
  
• VWMA, Volume Weighted MA (by Buff P. Dormeier)
  
• AHMA, Ahrens MA (by Richard D. Ahrens)
  
• ALMA, Arnaud Legoux MA (by Arnaud Legoux and Dimitris Kouzis-Loukas)
  
• ALF, Adaptive Laguerre Filter (by John F. Ehlers)
  
• ARSI, Adaptive RSI
  
• DEMA, Double Exponential MA (by Patrick G. Mulloy)
  
• EDCF, Ehlers Distance Coefficient Filter (by John F. Ehlers)
  
• EVWMA, Elastic Volume Weighted MA (by Christian P. Fries)
  
• FRAMA, Fractal Adaptive MA (by John F. Ehlers)
  
• HFSMA, Hampel Filter on Simple Moving Average
  
• HFEMA, Hampel Filter on Exponential Moving Average
  
• HMA, Hull MA (by Alan Hull)
  
• HWMA, Henderson Weighted MA (by Robert Henderson)
  
• IIRF, Infinite Impulse Response Filter (by John F. Ehlers)
  
• JMA1, Jurik MA with power of 1 (by Mark Jurik)
  
• JMA2, Jurik MA with power of 2 (by Mark Jurik)
  
• JMA3, Jurik MA with power of 3 (by Mark Jurik)
  
• JMA4, Jurik MA with power of 4 (by Mark Jurik)
  
• LF, Laguerre Filter (by John F. Ehlers)
  
• LMA, Leo MA (by ProRealCode' user Leo)
  
• LSMA, Least Squares MA (Moving Linear Regression)
  
• MD, McGinley Dynamic (by John R. McGinley)
  
• MHLMA, Middle-High-Low MA (by Vitali Apirine)
  
• REMA, Regularized Exponential MA (by Chris Satchwell)
  
• RMF, Recursive Median Filter (by John F. Ehlers)
  
• RMTA, Recursive Moving Trend Average (by Dennis Meyers)
  
• SHMMA, Sharp Modified MA (by Joe Sharp)
  
• SWMA, Sine Weighted MA
  
• TEMA, Triple Exponential MA (by Patrick G. Mulloy)
  
• TMA, Triangular MA
  
• T3, (by Tim Tillson)
  
• VIDYA, Variable Index Dynamic Average (by Tushar S. Chande)
  
• ZLEMA, Zero Lag Exponential MA (by John F. Ehlers and Ric Way)
  
• BF2, Butterworth Filter with 2 poles
  
• BF3, Butterworth Filter with 3 poles
  
• SSF2, Super Smoother Filter with 2 poles (by John F. Ehlers)
  
• SSF3, Super Smoother Filter with 3 poles (by John F. Ehlers)
  
• GF1, Gaussian Filter with 1 pole
  
• GF2, Gaussian Filter with 2 poles
  
• GF3, Gaussian Filter with 3 poles
  
• GF4, Gaussian Filter with 4 poles
  

Good luck and Merry Christmas!

27 thg 1, 2019

Phát hành các Ghi chú

• Added option to reboot indicator
  
• Added Double Weighted Moving Average (DWMA)
  
• Added Inverse Distance Weighted Moving Average (IDWMA)
  
• Added Exponential Hull Moving Average (EHMA)
  
• Added Parabolic Weighted Moving Average (PWMA)
  
• Added JMA Phase parameter
  

1 thg 6, 2019

Phát hành các Ghi chú

• Added optimizations
  
• Added enhanced visualization - now it has more controls
  

New Moving Averages:

• AEMA, Adaptive Exponential MA (by Vitali Apirine)
  
• AMA, Adaptive MA (by Vitali Apirine)
  
• BAMA, Bryant Adaptive MA (by Michael R. Bryant)
  
• DWMA, Double Weighted MA
  
• EHMA, Exponential Hull MA
  
• IDWMA, Inverse Distance Weighted MA
  
• JMA, Jurik MA (by Mark Jurik https://www.tradingview.com/script/714vYiDe-Jurik-Moving-Average/)
  
• JAMA, Jurik Adaptive MA (by Mark Jurik)
  
• KAMA, Kaufman Adaptive MA (by Perry J. Kaufman)
  
• MNMA, McNicholl MA (by Dennis McNicholl)
  
• NSMA, Moving Average 3.0 on SMA (by Manfred G. Dürschner)
  
• NEMA, Moving Average 3.0 on EMA (by Manfred G. Dürschner)
  
• NWMA, Moving Average 3.0 on WMA (by Manfred G. Dürschner)
  
• NVWMA, Moving Average 3.0 on VWMA (by Manfred G. Dürschner)
  
• PEMA, Pentuple Exponential MA (by Bruno Pio)
  
• PWMA, Parabolic Weighted MA
  
• QMA, Quick MA (by John McCormick)
  
• QEMA, Quadruple Exponential MA (by Bruno Pio)
  

The total number of supported moving averages and filters is 63 now

15 thg 12, 2019

Phát hành các Ghi chú

• Update
  

19 thg 8, 2021

Phát hành các Ghi chú

• Bump Pine Script version to 4
  

2 thg 6, 2024

Phát hành các Ghi chú

• Pine Script V5
  
• Added sorting of results for better UX
  
• Added comments for better UX