Screaming Fast Moving Average

[Minetoo 10]

I have been playing with the Hull Moving Average for the past week. It is comparable, some say better than, Mark Jurik's stuff (jurikres.com), in performance and has the distinct advantage of being COMPLETELY FREE.

 

The .eld discussion can be found here, https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=40589

 

The formula is also readily found for other platforms. The Hull MA truly is a double edged sword in that it may be too fast. However, the length, intra-bar update and colourDeltaBar (which indicates the change from up to down and vice versa) are adjustable. I was wondering if anyone else has successfully used this indicator? Also, I have used Tradestation less than 2 weeks, so if anyone knows how to code the Hull MA into a MACD I would be very appreciative.

200506182322582005_JTHMA.ELD

[Minetoo 10]

This image shows an 8 period Hull MA on part of Friday's 89 tick YM chart. Although it is a very fast setting the moving average is remarkably smooth hence it's utility. Some permutations and combinations of contract period and type combined with various Hull MAs have proven exceptionally accurate.

I use a larger (5 Min.) time frame to filter out countertrend moves. Also, I do not try to call tops or bottoms but just to take a bite out of the middle.

[Minetoo 10]

Here's a heads-to-head comparison between Hull, Jurik and Gaussian. As you can see, Hull is definitely one sharp tool. The downside with all indicators is that they are derivatives of price and therefore lag. However, the Hull can give you a heads up notification before others as to potential changes in direction.

[Bird of Fire 10]

This image shows an 8 period Hull MA on part of Friday's 89 tick YM chart. Although it is a very fast setting the moving average is remarkably smooth hence it's utility. Some permutations and combinations of contract period and type combined with various Hull MAs have proven exceptionally accurate.

I use a larger (5 Min.) time frame to filter out countertrend moves. Also, I do not try to call tops or bottoms but just to take a bite out of the middle.

Can you explain how one would use the attached chart (and software) for entries?

[Bird of Fire 10]

This image shows an 8 period Hull MA on part of Friday's 89 tick YM chart. Although it is a very fast setting the moving average is remarkably smooth hence it's utility. Some permutations and combinations of contract period and type combined with various Hull MAs have proven exceptionally accurate.

I use a larger (5 Min.) time frame to filter out countertrend moves. Also, I do not try to call tops or bottoms but just to take a bite out of the middle.

For those who do want to try to capture as accurately as possible, tops and bottoms, what permutations of time and Hull MAs would you reccomend?

[colion 10]

For those who do want to try to capture as accurately as possible, tops and bottoms, what permutations of time and Hull MAs would you reccomend?

 

Optimization of the adjustable Hull parameters, as opposed to using fixed values, will move you in that direction.

[Bird of Fire 10]

Optimization of the adjustable Hull parameters, as opposed to using fixed values, will move you in that direction.

Can you be a bit more detailed and give some examples of the parameters?

[colion 10]

Can you be a bit more detailed and give some examples of the parameters?

 

The Hull MA is a function of the weighted moving average (WMA). The period of the WMA can be optimized for the market, timeframe, and trading frequency, etc. Of course, appropriate software that permits optimization is required.

[Minetoo 10]

Capturing tops and bottoms is a very expensive hobby. If I posted my workspaces here it would look like a dog's breakfast to you but makes perfect sense to me. In sum, I like tick charts - 89, 144 for YM and 233 for ES. An 8 period Hull and a 21 period Hull provide good indications of market direction. I like TTM or Heikin Ashii on my charts too. I always want to err on the side of the trend when I trade. If you like, you can throw the following code into the jtHMA to provide audio alerts for directional change:

 

{ Alerts }

if (Value1 > Value1[1]) and Value1[1] < Value1[2] then //Change in Direction to Up

Alert(Symbol + " jtHMA UpTurn")

 

else if (Value1 < Value1[1]) and Value1[1] > Value1[2] then //Change in Direction to Down

Alert(Symbol + " jtHMA DownTurn");

 

Hope this helps.

[Bird of Fire 10]

I tried the 233 on the ES today (21 Hull) and felt it lagged a bit too much for 1 point scalping. However, 50 tick seemed to do the trick. Check it out and let me know what you think.

[Bird of Fire 10]

I tried the 233 on the ES today (21 Hull) and felt it lagged a bit too much for 1 point scalping. However, 50 tick seemed to do the trick. Check it out and let me know what you think.

P.S. The 50 tick was set with 8 Hull, not 21.

[Minetoo 10]

P.S. The 50 tick was set with 8 Hull, not 21.

 

Scalperific!

[Guest cooter]

Capturing tops and bottoms is a very expensive hobby. If I posted my workspaces here it would look like a dog's breakfast to you but makes perfect sense to me. In sum, I like tick charts - 89, 144 for YM and 233 for ES. An 8 period Hull and a 21 period Hull provide good indications of market direction. I like TTM or Heikin Ashii on my charts too. I always want to err on the side of the trend when I trade. If you like, you can throw the following code into the jtHMA to provide audio alerts for directional change:

{  Alerts } 
if (Value1 > Value1[1]) and Value1[1] < Value1[2] then //Change in Direction to Up 
Alert(Symbol + " jtHMA UpTurn") 

else if (Value1 < Value1[1]) and Value1[1] > Value1[2] then //Change in Direction to Down 
Alert(Symbol + " jtHMA DownTurn");  

Hope this helps.

 

Has anyone made a strategy out of this and tested it yet? Looks like it could be promising...

[Bird of Fire 10]

The opinions of this forum differ somewhat from Mr Jurik (no surprise hey?). Here is an email I received today after making an inquiry

You may find information about the Jurik JMA here ...

 

<<<http://www.jurikres.com/catalog/ms_ama.htm#top

 

Everyone likes free indicators, especially moving averages that appear to rival the Jurik JMA. However, professionals, institutions and banks all recognize the value JMA has over other filters, including the Hull MA. JMA is adaptive, designed especially to handle extreme market conditions, including price gaps. JMA is the workhorse gold standard all other filters are compared to.

 

To see what users have to say about JMA, go here ...

 

http://www.jurikres.com/quotes/mainquot.htm#ama>>>

 

Does anyone think Jurik is better than Hull?

[Bird of Fire 10]

Has anyone experimented with Hull using a MA crossover? If so, please share the TS settings. Thanks!

[Minetoo 10]

Bird: Check the image in my third post for a comparison with Jurik. I noticed no where on Mr. Jurik's site does he compare his stuff to Hull's, plus he hasn't updated it in years. Frankly, I don't care if an indicator is free or pay as long as it isn't snake oil.

[Minetoo 10]

cooter: I believe we are circling the block regarding a promising trade strategy. Check out this thread: http://www.traderslaboratory.com/forums/f34/smoothing-out-price-2098.html

 

Heikin Ashii and Hull could conceivably create a viable combined indicator that de-noises and has little lag. Unfortunately, it is beyond my programming abilities.

[Bird of Fire 10]

Bird: Check the image in my third post for a comparison with Jurik. I noticed no where on Mr. Jurik's site does he compare his stuff to Hull's, plus he hasn't updated it in years. Frankly, I don't care if an indicator is free or pay as long as it isn't snake oil.

Minetop: I did see the comparison and to my old eyes it doersn't look close--Hull blows them away.

 

Can you give some input on the parameters to use a 2 Hull MAs for a timely crossover rather than he single with blue and red signals?

[Minetoo 10]

If you wish to make it visually simpler you can format the indicator inputs and make the upColour and downColour the same and then plot two Hulls of whatever period you wish.

[Wajodi 10]

Could anyone tell me where I can get a copy of the Hull Moving Average Indicator or even better send me a copy by email please.

 

Email : wajodi@optusnet.com.au

 

Thanks

 

Wajodi

[tonism 10]

does anyone know how to get the hull ma for esignal? thx

[Minetoo 10]

Google Hull and esignal to get the efs.

[lizmerrill 10]

re your code for "screaming fast ma's" with hull moving average: your code below

does not have an error, but can "cheat",

 

Value1 = jtHMA(price, length);

 

Plot1(Value1, "jtHMA");

 

If ZeroVisible = true then

Plot2(zeroLine, "Zero");

 

{ Color criteria }

if (Value1 > Value1[1]) then

SetPlotColor[colourDeltaBar](1, upColour)

else if (Value1 < Value1[1]) then

SetPlotColor[colourDeltaBar](1, downColour);

 

You recommend setting input, colourDeltaBar to 1, if so, then the indicator change

which happened, today, for example, would show up on the chart, as of yesterday.

Am I right? The value for the input should be zero,0.

 

Please reply,

 

Liz Merrill

[Minetoo 10]

As stated in the indicator code: "colourDeltaBar: Set this to 1 if you wish the colour change to be effective on

the actual bar where the direction change occurred.

Set this to 0 for default behaviour. "

 

As the indicator's author stated, "The colourDeltabar merely controls when the display colour change occurs, and thus will not cause your trades to occur earlier. The suggestion was to make sure there was no confusion with seeing the colour change on the HMA a bar before the trade was taken - thats all. "

 

In essence, it is a personal preference. Please closely read the following thread: https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=40589

 

Hope this helps.

[traderz 10]

Is anyone using Multicharts that has the code for the Hull Moving average,

can't find it anywhere.