Next: , Previous: , Up: Averages   [Index]


8.8 Hull Moving Average

http://www.alanhull.com/
http://www.justdata.com.au/Journals/AlanHull/hull_ma.htm

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

Chart is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 3, or (at your option) any later version.