Re: Jurik based indicator(s) - cTrader

2
Jurik Moving Average


Mark Jurik developed the Jurik's Moving Average (JMA) in 1998.
This program allows traders to produce an accurate technical analysis of the Forex market. The JMA is a modern version of the adaptive moving average.


Why use JMA ?

Ideally, you would like a filtered signal to be both Smooth and Lag-free. Lag causes delays in your trades, and increasing lag in your indicators typically result in lower profits. In other words, late comers get what's left on the table after the feast has already begun.

That's why Investors, Banks and Institutions Worldwide ask for the Jurik Research Moving Average (JMA). You may apply it just as you would any other popular moving average. However, JMA's improved timing and smoothness will astound you.



MA as A Proxy for Price

The first advantage to having a low-lag, low-noise Moving Average, is that you can use it as a "proxy" to replace the Price time series. To see the value of using JMA's up/down trend to determine whether the Market is rising or falling,

Lag is very undesirable because a trading system using that information will have its trading delayed. Late trades can many times be worse than no trades at all, as you might buy or sell on the wrong side of the market's cycle. Consequently, many attempts were made to minimize lag, each with their own failings.

Conquering lag while making no simplifying assumptions (e.g., that data consists of superimposed cycles, daily price changes having a Gaussian distribution, all prices are equally important, etc.) is not a trivial task. In the end, JMA had to based on the same technology the military uses to track moving objects in the air using nothing more than their noisy radar.

JMA sees the price time series as a noisy image of a moving target (the underlying smooth price) and tries to estimate the location of the real target (smooth price). The proprietary mathematics is modified to take into consideration the special properties of a financial time series.

The result is a silky smooth curve that makes no assumptions about the data having any cyclic components whatsoever. Consequently JMA can turn "on a dime" if the market (moving target) decides to turn direction or gap up/down by any amount. No price gap is too large.



After several years of research, we Jurik Research determined that the perfect noise reduction filter for financial data has the following requirements :

1. Minimum lag between signal and price, otherwise trade triggers come late.
2. Minimum overshoot, otherwise signal produces false price levels.
3. Minimum undershoot, otherwise time is lost waiting for convergence after price gaps.
4. Maximum smoothness, except at the moment when price gaps to a new level.

All strong noise filters have lag and overshoot, and JMA is no exception. However, the JMA's adjustable parameters PHASE and LENGTH offer you a way to select the optimal tradeoff between lag and overshoot. This gives you the opportunity to fine-tune various technical indicators.
Always looking the GREAT, never left GOOD Point...

Re: Jurik based indicator(s) - cTrader

3
RSX


RSX (Relative Strength Quality Index) indicator permits more accurate analysis, helping you avoid many Trades that would have been prematurely trigged by the jagged RSI.

However, RSI is a jittery signal, making Technical Analysis (TA) very difficult.
1. Jitter produces false trade triggers
2. Jitter degrades market trend direction analysis
3. Jitter degrades market reversal analysis

In the classical RSI, trend strength is measured by taking Separate moving averages of the Up changes and Down changes in Price.
The original formulation called for a Simple Moving Average (SMA), however, more contemporary implementations use an Exponential Moving Average (EMA)
Either way, these Averaging techniques introduce significant Lag and noise into the Signal action, thereby degrading its Quality.

In contrast, RSX uses Filtration with very low Lag and superior Smoothness. As shown in the Chart below, the difference is striking !
These users thanked the author Tsar for the post (total 2):
twix, Krelian99
Always looking the GREAT, never left GOOD Point...

Re: Jurik based indicator(s) - cTrader

4
DMX


DMX (Directional Movement Quality Index) is the ultra-smooth, low lag version of your classic DMI indicator. With DMX on your charts, you can throw away both DMI and ADX.


Formulas :

DMX = (P-M)/(P+M),
Signal = MA(DMX) with [Smoothing_Length] number of periods and [Smoothing_Method] type, where
P - (+DI) mode of ADX indicator,
M - (-DI) mode of ADX indicator.


The classic indicator ADX is a smoothed (and lagging) version of the more basic, and more noisy, DMI indicator. DMI itself is composed of two jittery components,
DMI.up and DMI.down, combined the following way ...
DMI=| DMI.up - DMI.down | / | DMI.up + DMI.down |

Let's create a new signal, called "Bipolar DMI", and let it be the same as the classic DMI formula above, except that the absolute value is NOT applied.

And the bipolar DMI be both positive (duringUupward trends) and negative (during Downward trends). The New formula is ...
Bipolar DMI=( DMI.up - DMI.down ) / ( DMI.up + DMI.down )
Always looking the GREAT, never left GOOD Point...

Re: Jurik based indicator(s) - cTrader

5
velocityIndicator


VEL's (Jurik Velocity Index) formula is based on solid Mathematics, Not ad-hoc Heuristics.
Although the algorithm behind VEL is proprietary we can disclose something about VEL's ability to create a smooth momentum with no more lag than ordinary momentum. VEL does not smooth the classical momentum signal, because any smoothing will add some amount of lag no matter what smoothing technique is applied.

VEL also does not evaluate the Momentum of a time series Smoothed by JMA.
Although taking momentum from JMA does produce a smooth signal, this method yields more lag than VEL and also has less vertical (scaling) accuracy than VEL.
VEL was specially designed to not have any more lag than you would obtain from the classical Momentum signal. The only difference is that VEL is significantly Smoother.

The classical Momentum indicator is a simple yet effective measure of market direction.
However, the curve zig-zags a lot, producing many misleading values and false alarms. Typical attempts to remove noise by applying a moving average will seriously degrade its usefulness by adding lag. Jurik Research solved this problem with an advanced momentum oscillator that produces very smooth curves without any additional lag !

Notice how VEL eliminates the zig-zagging noise inherent in a classic 10-bar momentum signal. VEL is extremely smooth, compared to the jagged momentum line. Consequently, there are fewer false signals.
Always looking the GREAT, never left GOOD Point...


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