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Re: Ehlers based indicator(s) - cTrader

Tsar, Sun Mar 11, 2018 12:50 pm

ZLEMA


This is a Zero lag EMA as described by John Ehlers ( without Lag and Overshoot )

Exponential averages belong to the calculation methods with shorter lags. In simple terms, for each time period in Market Data, a simple calculation is carried out that first determines the deviation of the current price from the previous average value. This value – described as an error – is multiplied with a weighing factor and then added to the previous average value. This results in the current average value.

The Zero Lag Exponential Moving Average is a Variation on the Exponential Moving Average.
The Zero-Lag keeps the benefit of the heavier weighting of recent values, but attempts to remove lag by subtracting older data to minimize the cumulative effect.

The ZLEMA indicator or Zero Lag Exponential Moving Average is a Technical Analysis indicator originally created by Ric Way and John Ehlers.
The goal of the indicator is to try to eliminate the inherent Lag of all trend following indicators which Average prices over time such as the Simple or Exponential Moving Averages.

Instead of applying the Exponential Moving Average on the regular data (usually the Close price), the indicator applies it to a de-Lagged data, which is the original data removed from the "Lag" days.
Usually, a Stock is considered Bullish when the Zero Lag EMA is above the original EMA and Bearish when the Zero Lag EMA is below the original EMA.

This Paper show and interactive way to eliminate as much Lag as desired from smoothing filters. Of course, reduced lag comes at the price of decreased filter smoothness. The filter exhibits no transient overshoot commonly found in higher order Filters.
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