Ocean theory based indicators - page 2

Mladen Rakic
208147
Mladen Rakic  

Natural moving average - fast smooth

Smoothed natural moving average - fast

Smoothing applied is the same kind of smoothing as in natural moving average

Parameters description :

NMA.Period -> period of ndx calculation

NMA.Price -> price to use in calculations

TEMA.Period -> period for pre-processing tema (triple EMA) smoothing of price

Smooth.Period-> period for post-processing smoothing of NMA result (two pole smoother applied)

Mladen Rakic
208147
Mladen Rakic  

Natural moving average - fast metatrader 5 version

Natural moving average - fast metatrader 5 version

Difference in parameters : there is no difference in parameters compared to it's metatrader 4 counterpart.

Mladen Rakic
208147
Mladen Rakic  

Natural moving average - fast smooth metatrader 5 version

Smoothed natural moving average - fast metatrader 5 version

Difference in parameters : there is no difference in parameters compared to it's metatrader 4 counterpart.

Mladen Rakic
208147
Mladen Rakic  

...

At this point I would like to take a little digression and compare fast natural moving average to one other indicator - the Ehlers optimal tracking filter (and implicitly to Kaufman AMA). According to Ehlers :

Returning to the same price data used in Figure 1 (first picture in this post) to plot the zero lag filter, we see that the Optimum Tracking Filter quickly adjusts rapid shifts in the price and yet is relatively smooth when the price has a sideways action. The operation of this filter is similar to Kaufman’s Adaptive Moving Average. In this case, you know the filter is optimal for the given uncertainty in the price movement and the measurement of that movement. Notice how the tracking filter flattens in sideways market conditions. I conclude that this optimum tracking filter can lead to far fewer whipsaw signals. The simple Alpha Optimum Tracking Filter can be easily extended to an Optimum Alpha-Beta filter that has even tighter tracking. Which is better for trading? That’s where you come in. It is your project to imbed these optimum filters in your own indicators and trading systems.

Comparing the two, we can see that the values returned by the the are (with default parameters for fast natural moving average) similar (blue on the second picture is the fast natural moving average and gold is Ehlers optimal tracking filter. The interesting part is that the underlying math has nothing to do with each other.

Also, it is obvious that in some cases they behave very differently (especially at points where a reversals happen - since I know that the fast natural moving average does not use future bars for calculation, there were times when I was really astonished with situations when it almost "predicted" some situations. Please, do not take these words for a fact, but, if you use these, you will, with time, understand what did I mean when I told this. It is a completely subjective judgment and please treat it as it)

The obvious advantage that fast natural moving average is that it is customizable through parameters while the optimal tracking filter is designed to be as much responsible to fast price changes without regard of "user wishes"

Mladen Rakic
208147
Mladen Rakic  

Fast natural moving average & bands metatrader 5 version

Fast natural moving average & standard deviation bands metatrader 5 version

Difference in parameters : there is no difference in parameters compared to it's metatrader 4 counterpart.

Mladen Rakic
208147
Mladen Rakic  

Smoothed fast natural moving average & bands metatrader 5 version

Smoothed fast natural moving average & standard deviations bands metatrader 5 version

Difference in parameters : there is no difference in parameters compared to it's metatrader 4 counterpart.

Mladen Rakic
208147
Mladen Rakic  

Natural market mirror & nmas

Natural market mirror with natural moving averages (fast natural moving average and "regular" natural moving average

Parameters :

NMM.Period -> period of nmm calculation and for natural moving averages calculations

NMM.Price -> price to use in calculations

TEMA.Period -> period for pre-processing tema (triple EMA) smoothing of price

Mladen Rakic
208147
Mladen Rakic  

Natural market mirror - metatrader 5 version

Natural market mirror - metatrader 5 version

Difference in parameters : there is no difference in parameters compared to it's metatrader 4 counterpart.

Files:
Mladen Rakic
208147
Mladen Rakic  

Natural market mirror & SD hist - metatrader 5 vesrions

Natural market mirror & SD hist - metatrader 5 vesrions

Difference in parameters : there is no difference in parameters compared to it's metatrader 4 counterpart.

Mladen Rakic
208147
Mladen Rakic  

Natural market mirror & nmas - metatrader 5 version

Natural market mirror & ocean natural moving averages - metatrader 5 version

Difference in parameters : there is no difference in parameters compared to it's metatrader 4 counterpart.