Quick MA

[zdo 20]

Here is a 'very inexpensive' alternative to Juriks Moving Average contributed in Easy Language by John D. McCormick (TS handle = JDM, see jmactrader.com).

 

Moving Averages are used to remove noise. By “noise” is meant the apparently random motion up and down of the prices around their average price. This shows up on a moving average as a jagged appearance on an otherwise smooth line. The jaggedness can trigger false buy and sell signals or simply make the indicator hard to read, so we try to smooth out the average, i.e. remove the noise.

 

Lagging or lateness is the bane of moving averages. You make them longer (average in more bars) and the moving average is smoother, but now it lags way behind the actual price movement.

 

The ideal moving average should filter out noise and respond quickly – and – it would be a plus if it was fast calculating. That’s kind of like having your cake and eating it too.

 

Nevertheless, here’s one, I call it Quick MA, that seems to work as well as any I’ve seen.

 

Full thread is at https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=77583&SearchTerm=a%20better%20moving%20average&txtExactMatch=

Posted with his permission. Please retain his 'copyright' info in the code. Many thanks to JDM.

QUICK.ELD

Edited September 25, 2008 by zdo
add TS link, etc

[zdo 20]

And here is the source in readable text

 

Indicator

 

//
//	Plots a fractional-bar Quick Moving Average 
//	with the option to select gapless daily opens.
//
//	copyright 2008 John McCormick jmactrader.com
//
//	feel free to copy and use this code royalty free
//	as long as it retains the above acknowledge
//

inputs:
Price(Close),
Quick_Length(9),
displace(0),
gapless(0);	// set gap to a non-zero value to skip over opening daily gaps

Var: Length(maxlist(1,Quick_Length));

// GapLess

Vars:			// gapless O,H,L,C where O=C[1]
RelO(0),
RelH(0),
RelL(0),
RelC(0),
gap(0),
Accum(0),
WtMean(0);

if date<>date[1] then begin
gap		=	O-C[1];
Accum	=	Accum+gap;
end;

RelO	=	O-Accum;
RelC	=	C-Accum;
RelH	=	H-Accum;
RelL	=	L-Accum;

			// Gapless bars - end

WtMean = (RelH+RelL+RelC)/3;

// End Gapless

if gapless=0 
then plot1[displace](FMA_Smooth(price,length),"FMA_Quick")
else plot1[displace](FMA_Smooth(RelC,length)+accum,"FMA_Quick");

 

 

Function

 

//  generates very smooth and responsive moving average
// 	copyright 2008 John McCormick  jmactrader.com
//	feel free to copy and use this code royalty free 
//  as long as you don't remove the above acknowledgement
//		

Inputs: 
Price(numericseries), 
Length(numericsimple);

Vars:
j(0),
workinglen(maxlist(1,absvalue(Length))),
peak(workinglen/3),
tot(0),
divisor(0);

Array:
val[100](0);

if workinglen>100 then workinglen=100;  //  use larger array to handle lengths over 100


tot=0;
divisor=0;
for j=1 to floor(workinglen+1) begin
if j<=peak then val[j]=j/peak
else val[j]=(workinglen+1-j)/(workinglen+1-peak);
tot=tot+price[j-1]*val[j];
divisor=divisor+val[j];
end;
if divisor<>0 then FMA_smooth=tot/divisor;

[zdo 20]

Here is a comparison of JurikMA (cyan) and QuickMA (yellow)

 

The arrows show spots where JMA beat QMA to the turn

(Note, though, there may be instances off this chart where QMA leads JMA)

Enjoy

[metalhead 10]

Wow! Here's the best I could do in that same time period (6/4 YM 1 min).

 

I'm very impressed by how smooth both of those are.

 

There's three in this pic: the light blue was my attempt at smoothing the thin pink one. The other thin pink one was another smooth attempt but it wasn't good.

 

Those up there are very, very smooth.

[pathfinder62 10]

QUOTE-Here is a comparison of JurikMA (cyan) and QuickMA (yellow)...

 

Great work & thanks for sharing/educating us. Tom M.

[Minis Trader 10]

I have been looking for a MA smoothing indicator similar to Juriks, thanks for sharing.

[rurimoon 10]

zdo, your graph show the Quick MA as yellow, and "AMA" as cyan... not JMA. Can you post another graph that have the QuickMA, AMA and JMA on 1 graph?

 

Thanks

[zdo 20]

zdo, your graph show the Quick MA as yellow, and "AMA" as cyan... not JMA. Can you post another graph that have the QuickMA, AMA and JMA on 1 graph?

 

Thanks

 

rurimoon,

 

Yellow is QuickMA

Cyan is really Jurik

(through the 90's it was the only adaptive mov avg I considered, hence the indicator label of "AMA" … (and obviously) it uses JMA function)

TS has an AdaptiveMovingAverage built in (Kaufman’s) but I would be afraid to even allow it to open on my screen …seriously and …

If you have TS you can try it... if not let me know and I will take some serious pain medication and put up a comparison. Keep in mind though that the kaufman effectively just 'dynamically' varies the length parameter via a stochastic rather than actually doing the 'phasing and whatever' that more recent ama do...

hth

[rurimoon 10]

zdo or any other who has QuickMA with Tradestation, can you post a chart of the recent ES or YM with QuickMA(9) and possibly HMA(9) on it?

I translated the code to ninjascript but I don't have tradestation to vertify if my code is right or not. I don't think my code is right.

 

It would be great if you post a recent chart so that I can compare my QuickMA in Ninjatrader with yours. Please tell me if below value match.

 

ES0309 on Jan23,5min chart,

11:00amCT: Price close: 815.50, QMA(9) 819.87

11:05amCT: Price close: 817.25, QMA(9) 819.15

11:10amCT: Price close: 816.50, QMA(9) 818.36

[rurimoon 10]

Here is my chart:

 

 

The blue line is my QuickMA and red line is HMA. As you can see, my QuickMA is nowhere as fast as HMA, so I think I may be coding it wrong.. and I need to make sure...

[VTtrader 10]

Rurimoon,

I don't have TradeStation anymore, but I've converted the QuickMA code from EL and got the exact numbers as you did for the 5min ES. Here's a scrrenshot with my conversion of the QuickMA along with HMA and a conversion I did from what is "supposed to be" JMA converted from Metatrader.

 

Magenta is HMA

Blue is the converted QuickMA

Black is the converted JMA

 

 

VT

[rurimoon 10]

Thanks to verifying for me. I have always though that QuickMA should be at least on pair with HMA so I don't believe in my coding skill when I see that it lag behind so much. I am in the process of converting JMA from metatrader to ninjascript also. The problem is I have find at least 5 different version of JMA in Metatrader and I have no idea which one produce more accurate result with the real JMA. Can you tell me which version of JMA from metatrader that you are using? (Of course it would be best if you can share your code

 

P.S. I have a version of JMA in metatrader that is so cheesy, it has at least 50 variable defined. Basically it change its formula base on which period it used... the code has so many if then else statement that I wonder how long it takes the coder to fine tune all those numbers.

[zdo 20]

Find attached screenshot with

Red = Hull

White = Quick

Blue = Jma

 

All set to 4 periods

 

Hull definitely turns faster

Jma definitely goes flat faster and more smoothly than the other two (and that is about the only utility for mov avgs I have)

Quick came along for free so I shared it for ppl who don’t like to buy closed source products etc.

 

ie best one depends on your own distinctive needs.

 

hth

 

PS rurimoon re "Basically it change its formula base on which period it used"

That particular one is not it... :hmpf:

[metalhead 10]

Find attached screenshot with

Red = Hull

White = Quick

Blue = Jma

 

All set to 4 periods

 

Hull definitely turns faster

Jma definitely goes flat faster and more smoothly than the other two (and that is about the only utility for mov avgs I have)

Quick came along for free so I shared it for ppl who don’t like to buy closed source products etc.

 

ie best one depends on your own distinctive needs.

 

hth

 

PS rurimoon re "Basically it change its formula base on which period it used"

That particular one is not it... :hmpf:

 

Thanks for posting that chart. Would you mind posting another one with the MAs overlaid over the candles, too? I want to see how price bars interact with the MAs.

 

Thanks!

 

btw did something happen to this thread? I got like 50 emails that there were new replies but there was really only one new reply.

[zdo 20]

Thanks for posting that chart. Would you mind posting another one with the MAs overlaid over the candles, too? I want to see how price bars interact with the MAs.

 

 

1st one approx same as time shown above.

2nd one from today... hth

[metalhead 10]

thank you, sir

 

(message not long enough ljkfdlkjflkjdfljkfljkdf :p )

[Tams 20]

this is good stuff !

Edited April 6, 2009 by Tams

[Tams 20]

a couple more comparisons of MAs

 

credit: robotman at

http://www.tssupport.com/forum/viewtopic.php?t=5120