How to use a fast natural moving average in the process of processing prices - MQL4 and MetaTrader 4

Mladen Rakic 2009.11.13 09:07 #11

Natural moving average - fast smooth

Smoothed natural moving average - fast

Smoothing applied is the same kind of smoothing as in natural moving average

NMA.Period -> period of ndx calculation
NMA.Price -> price to use in calculations

TEMA.Period -> period for pre-processing tema (triple EMA) smoothing of price

Smooth.Period-> period for post-processing smoothing of NMA result (two pole smoother applied)

Files:

ocn_-_nma_fast_smooth.gif 14 kb

ocn_nma_fast_smooth.mq4 6 kb

Moving Average of Oscillator Moving Average of Oscillator Moving Average of Oscillator

Mladen Rakic 2009.11.13 09:11 #12

Natural moving average - fast metatrader 5 version

Difference in parameters : there is no difference in parameters compared to it's metatrader 4 counterpart.

Files:

ocn_-_nma_fast.mq5 8 kb

ocn-_nma_fast.png 32 kb

Mladen Rakic 2009.11.13 09:18 #13

Natural moving average - fast smooth metatrader 5 version

Smoothed natural moving average - fast metatrader 5 version

Difference in parameters : there is no difference in parameters compared to it's metatrader 4 counterpart.

Files:

ocn-_nma_fast_smooth_5.png 33 kb

ocn_-_nma_fast_smooth.mq5 9 kb

Mladen Rakic 2009.11.13 10:07 #14

...

At this point I would like to take a little digression and compare fast natural moving average to one other indicator - the Ehlers optimal tracking filter (and implicitly to Kaufman AMA). According to Ehlers :

Returning to the same price data used in Figure 1 (first picture in this post) to plot the zero lag filter, we see that the Optimum Tracking Filter quickly adjusts rapid shifts in the price and yet is relatively smooth when the price has a sideways action. The operation of this filter is similar to Kaufman’s Adaptive Moving Average. In this case, you know the filter is optimal for the given uncertainty in the price movement and the measurement of that movement. Notice how the tracking filter flattens in sideways market conditions. I conclude that this optimum tracking filter can lead to far fewer whipsaw signals. The simple Alpha Optimum Tracking Filter can be easily extended to an Optimum Alpha-Beta filter that has even tighter tracking. Which is better for trading? That’s where you come in. It is your project to imbed these optimum filters in your own indicators and trading systems.

Comparing the two, we can see that the values returned by the the are (with default parameters for fast natural moving average) similar (blue on the second picture is the fast natural moving average and gold is Ehlers optimal tracking filter. The interesting part is that the underlying math has nothing to do with each other.

Also, it is obvious that in some cases they behave very differently (especially at points where a reversals happen - since I know that the fast natural moving average does not use future bars for calculation, there were times when I was really astonished with situations when it almost "predicted" some situations. Please, do not take these words for a fact, but, if you use these, you will, with time, understand what did I mean when I told this. It is a completely subjective judgment and please treat it as it)

The obvious advantage that fast natural moving average is that it is customizable through parameters while the optimal tracking filter is designed to be as much responsible to fast price changes without regard of "user wishes"

Files:

ehlers_-_optimal_tracking_filter.mq4 4 kb

ehlers_otf_-_from_the_book.gif 15 kb

ocn_-_nma_fast_compared_to_otf.gif 15 kb

Parabolic SAR - Trend Parabolic SAR - Trend Parabolic SAR - Trend

Mladen Rakic 2009.11.13 11:17 #15

Fast natural moving average & bands metatrader 5 version

Fast natural moving average & standard deviation bands metatrader 5 version

Difference in parameters : there is no difference in parameters compared to it's metatrader 4 counterpart.

Files:

ocn-_nma_fast_amp_sd_5.png 36 kb

ocn_-_nma_fast_amp_sd_bands.mq5 10 kb

Mladen Rakic 2009.11.13 11:23 #16

Smoothed fast natural moving average & bands metatrader 5 version

Smoothed fast natural moving average & standard deviations bands metatrader 5 version

Difference in parameters : there is no difference in parameters compared to it's metatrader 4 counterpart.

Files:

ocn_-_nma_fast_smooth_amp_sd_bands.mq5 11 kb

ocn-_nma_fast_smooth_amp_sd_5.png 30 kb

Mladen Rakic 2009.11.13 17:35 #17

Natural market mirror & nmas

Natural market mirror with natural moving averages (fast natural moving average and "regular" natural moving average

Parameters :

NMM.Period -> period of nmm calculation and for natural moving averages calculations
NMM.Price -> price to use in calculations

TEMA.Period -> period for pre-processing tema (triple EMA) smoothing of price

Files:

ocean_-_nmm_amp_ocn_mas.gif 15 kb

ocn_nmm_amp_ocn_mas.mq4 7 kb