ALMA moving average
Created for intraday traders, market geeks and financial nerds in 2009
In attempt to create a new kind of Moving Average with my friend and colleague Dimitrios Kouzis Loukas (because i was a little bit tired of the classical set of MA everybody’s use from the last 10 years), we’ve created this new one (ALMA)..
It removes small price fluctuations and enhances the trend by applying a moving average twice, one from left to right and one from right to left. At the end of this process the phase shift (price lag) commonly associated with moving averages is significantly reduced. Zero-phase digital filtering reduces noise in the signal. Conventional filtering reduces noise in the signal, but add delay.
The ALMA can give some excellent results if you take the time to tweak the parameters (don’t need to explain this part, it will be easy for you to find the right setting in less than hour)..
Things to know
Since January 2010, the alma moving average has been downloaded more than twenty five thousand times
Because of its kernel that doesnt give too much importance to what happened in the last bar of data, the ALMA moving average filters out very well noise remaining stick to the underlying trend and when it really matters it responds much better than any other know moving averages.