tradd wrote: Fri Nov 11, 2022 1:01 amJurik ?

The Jurik is still alluding me, I have the ".pdf" going around on internet about the algorithm for the Jurik but it still seems incomplete.
If you have some inside to this please share and perhaps we can code a Jurik as well.

asbestosman21 wrote: Sat Nov 12, 2022 12:31 am Interesting indicators attached.

Great will convert it and have a look

asbestosman21 wrote: Sat Nov 12, 2022 12:33 am Hey Centaur, anyway to convert this to MT4?

Not too familiar with mt4 but after converting a couple of indicators one start getting use to the mt4 code.
Will see what I can do

Optimizing the Smoothness and Accuracy of Moving Average for Price Data
We cannot compare moving averages by period as a similarity measure. To solve this problem we introduce a new comparison measure – accuracy (acc). We define accuracy as the difference between current value and moving average value at that point.

p is the time series length and n is a moving average period. This estimate explains how the moving average is missing the price on average. We will call “average accuracy” simply “accuracy” . Smaller accuracy values are better.

The other comparative measure is smoothness. It is defined below (smo). In other words smoothness represents the extent to which the moving average is smooth,
and how much it changes direction. The smaller the smoothness value, the better it is.

In MT5 one can optimize for a custom performance metric max. So ideally a good MA is one that is accurate (close to its dataset - the closer the less lag) and as smooth as possible (not reacting to every false up and down movement), so I recommend combining these two measures in the following format: 1/(acc × smo). The reason for the inverse is because the build in solver is for max custom, and not min. In essence the smaller the combination of acc × smo the higher the inverse value will be.

With this performance metric one can actually replace the original dataset of any indicator with the best performing MA for a massive increase in smoothness and accurate entries e.g. RSI

Centaur wrote: Sat Nov 12, 2022 9:11 pm The Jurik is still alluding me, I have the ".pdf" going around on internet about the algorithm for the Jurik but it still seems incomplete.
If you have some inside to this please share and perhaps we can code a Jurik as well.

Jurik Ma is mysterious. I've only Google search pdf. I think it's not enoudh to explain correct Jurik.

Centaur wrote: Sat Nov 12, 2022 9:11 pm The Jurik is still alluding me, I have the ".pdf" going around on internet about the algorithm for the Jurik but it still seems incomplete.
If you have some inside to this please share and perhaps we can code a Jurik as well.

If you have not seen already some info on the Jurik MA here;


viewtopic.php?t=8474345

Ogee wrote: Wed Nov 16, 2022 1:54 am If you have not seen already some info on the Jurik MA here;


viewtopic.php?t=8474345

I specifically have gone through these indicators, the problem is this: the original indi requires two inputs, the lookback period and the phase. Jurik uses a fairly mysterious volatility calculation for the adaptive alpha constant in the ema calculation, the jurik volatility bands. The indi's in this thread bypass this problem by incorporating a third input parameter called power. Yes with enough iterations you can probably get very close to the original indi but the power value is adaptive to volatility in the jurik calcs and in these indi's the power value is constant.

The best Jurik calc I've seen is here, will convert shortly: https://in.tradingview.com/v/gwzRz6tI/

All in one Moving Average with ATR bands on price or on MA
Busy with a very handy MA, trying to incorporate all known filters or MA's in one, this is what I have so far:
Any other suggestions are welcome.

Found this post: viewtopic.php?f=579496&t=8474786

Centaur wrote: Wed Nov 16, 2022 6:12 pm All in one Moving Average with ATR bands on price or on MA
Busy with a very handy MA, trying to incorporate all known filters or MA's in one, this is what I have so far:

Code: Select all

//--- ---------
//--- | Index |
//--- ---------
//--- SMA - Simple Moving Average
//--- EMA - Exponential Moving Average
//--- RMA - Smoothed / Wilder's / Rolling Moving Average
//--- WMA - (Linear) Weighted Moving Average
//--- ZLEMA - Zero Lag Exponential Moving Average
//--- VWMA - Volume Weighted Moving Average
//--- VIDYA - Variable Index Dynamic Average
//--- TMA - Triangular Moving Average
//--- LSMA - Least Squares Moving Average
//--- SSF - SuperSmoother Filter
//--- FIR - Finite Impulse Response Filter
//--- KAMA - Kaufman's Adaptive Moving Average
//--- ALMA - Arnaud Legoux Moving Average
//--- KIJUN - Kijun-sen / Baseline
//--- FRAMA - Fractal Adaptive Moving Average
//--- MEDIAN - Median Value in a Series / Array / Buffer
//--- HMA - Hull Moving Average
//--- SWMA - Sine Weighted Moving Average
//--- PWMA - Parabolic Weighted Moving Average
//--- LMA - Leo Moving Average
//--- HWMA - Henderson Weighted Moving Average
//--- FWMA - Fibonacci Weighted Moving Average
//--- AEMA - Adaptive Exponential Moving Average
//--- BAMA - Bryant Adaptive Moving Average
//--- JMA - Jurik Moving Average
//--- DEMA - Double Exponential Moving Average
//--- TEMA - Triple Exponential Moving Average

Any other suggestions are welcome.

Kalman Filter could be.