Finally, the full Jurik Moving Average (JMA) implementation based on the reverse-engineered algorithm by Igor: c.mql5.com/forextsd/forum/164/jurik_1.pdf Every JMA implementation I've seen is based on the Igor's document. For some reason, many of the implementations, however, are not true to the source. As far as I know, this is the first correct JMA implementation on TradingView (please write a comment or send a message if I'm wrong). As the Igor's document itself is incomplete, however, there is some grey area still...
This is awesome. The JMA is a very important moving average for so many reasons - It can serve as a price proxy, it can be used as the fast line in MA crossover systems, it can be combined with other moving averages to make very profitable strategies, etc. Thanks for the great work!
One question: When you say that Igor's document is incomplete, what exactly is missing? I'm not an expert so I'm wondering if it's the formula for relative price volatility?
CoffeeshopCrypto
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can you explain what "phase" is for?
lastguru
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@CoffeeshopCrypto, Phase here is the intensity of Kalman filter on the smoothing. It is defined from -100 to +100, and the higher it is, the more smoothing is applied on the difference between raw values, and EMA of the raw values (see 2nd stage).
Jurik has described the JMA parameters as follows: "There are two ways to decrease noise in a time series using JMA. Increasing the LENGTH parameter will make JMA move slower and thereby reduce noise at the expense of added lag.
Alternatively, you can change the amount of "inertia" contained within JMA. Inertia is like physical mass, the more you have, the more difficult it is to turn direction. So a filter with lots of inertia will require more time to reverse direction and thereby reduce noise at the expense of overshooting during reversals in the time series.
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."
XIAOMEIXW
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import lastguru/CommonFilters how can i see source code？thanks
lastguru
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@XIAOMEIXW, yes, go to my profile - there you will see this library
One question: When you say that Igor's document is incomplete, what exactly is missing? I'm not an expert so I'm wondering if it's the formula for relative price volatility?