Exponential Hull Moving Average

The Exponential Hull Moving Average is similar to the standard Hull MA, but with superior smoothing. The standard Hull Moving Average is derived from the weighted moving average (WMA). As other moving average built from weighted moving averages it has a tendency to exaggerate price movement.

Indicator Description

The Exponential Hull Moving Average is similar to the standard Hull MA, but with superior smoothing. In the research paper “Moving Averages for Financial Data Smoothing” (Aistis Raudys, Edmundas Malčius, and Vaidotas Lenčiauskas – Vilnius University, Faculty of Mathematics and Informatics), the “smoothness” and “lag” of different Moving Averages were examined.

Basically, slow Moving Averages have a long lags and smooth well, whereas quick Moving Averages smooth poorly but exhibit little lag. The research paper examines which Moving Average with a specified smoothing exhibits the least lag. Comparing 19 different Moving Averages, the Exponential Hull Moving Average provides the ideal balance between smoothing and lag.

The indicator is available for NinjaTrader 8.