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8.8 Hull Moving Average

The Hull moving average (HMA) by Alan Hull is a combination of weighted moving averages (see Weighted Moving Average) with a momentum component, designed to have low lag.

HMA = WMA[floor(sqrt(N))] of (2 * WMA[floor(N/2)] - WMA[N])

The average is weighted towards recent prices, and in fact has negative weights for prices past about N/2 days ago. Those negatives can make the average overshoot actual price action after a big jump (the same as other lag-reduced averages do). The following graph shows the weights for N=15.

Hull moving average weights graph

Copyright 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2014, 2015, 2016, 2017 Kevin Ryde

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