Archive for the ‘Technical Indicators’ Category
Welles Wilder Moving Average
The Welles Wilder method of calculating moving averages is very similar to a Simple Moving Average. Both calculations provide similar results. Welles designed his formula to be easily computed by hand or with a simple calculator. For the sake of consistency Welles’ Moving Averages are used in all Welles indicator formulas (ADX, ADXR, and ATR).
See also Exponential MA, Least Squares MA, Simple MA, Triangular MA, Weighted MA, Variable MA, Volume Adjusted MA, Zero Lag Exponential MA, DEMA, TEMA, and T3
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Weighted Moving Average
The Weighted Moving Average calculates a weight for each value in the series. The more recent values are assigned greater weights. The Weighted Moving Average is similar to a Simple Moving average in that it is not cumulative, that is, it only includes values in the time period (unlike an Exponential Moving Average). The Weighted Moving Average is similar to an Exponential Moving Average in that more recent data has a greater contribution to the average.
See also Exponential MA, Least Squares MA, Simple MA, Triangular MA, Welles MA, Variable MA, Volume Adjusted MA, Zero Lag Exponential MA, DEMA, TEMA, and T3.
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Weighted Close
The Weighted Close is the average of the high, low and close of a bar, but the close is weighted, actually counted twice. It is used in the calculation of several indicators. It can be used to smooth an indicator that normally takes just the closing price as input.
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Volume Adjusted Moving Average
The Volume Weighted Moving Average is a weighted moving average that uses the volume as the weighting factor, so that higher volume days have more weight. It is a non-cumulative moving average in that only data within the time period is used in the calculation.
See also Exponential MA, Least Squares MA, Simple MA, Triangular MA, Weighted MA, Welles MA, Variable MA, Zero Lag Exponential MA, DEMA, TEMA, and T3
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VIDYA
VIDYA is an acronym of Variable Index Dynamic Average. The VIDYA is an exponential moving average that automatically adjusts the smoothing weight based on the volatility of the data series. The more volatile the data is the more weight is given to the more recent values. The VIDYA solves a problem with most moving averages. In times of low volatility, such as when the price is trending, the moving average time period should be shorter to be sensitive to the inevitable break in the trend. Whereas, in more volatile non-trending times, the moving average time period should be longer to filter out the choppiness. The VIDYA is also known as the Variable Moving Average.
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Vertical Horizontal Filter (VHF)
The Vertical Horizontal Filter (VHF) determines whether prices are trending. When the VHF is rising, it indicates the formation of a trend. Higher VHF values indicate a stronger trend. When the VHF is falling, it indicates the trend is ending and price is becoming congested. Very low VHF values indicate a trend may follow.
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Variable Moving Average
A Variable Moving Average is an exponential moving average that automatically adjusts the smoothing weight based on the volatility of the data series. The more volatile the data is, the more weight is given to the more recent values. The Variable Moving Average solves a problem with most moving averages. In times of low volatility, such as when the price is trending, the moving average time period should be shorter to be sensitive to the inevitable break in the trend. Whereas in more volatile non-trending times, the moving average time period should be longer to filter out the choppiness.
Almost any measure of volatility can be used in calculating the Variable Moving Average, however, most implementations use a 9 period Chande Momentum Oscillator (CMO).
The Variable Moving Average is also known as the VIDYA Indicator
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Upside/Downside Ratio
The Upside/Downside Ratio is the ratio of up volume to down volume. A value of one means that there is a balance between up and down volume. Sustained high/low values indicate overbought/oversold conditions. Big market moves are often signaled by big buying or selling frenzies. The ratio is often smoothed with a moving average to show longer term trends.
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Up Average
The Up Average is a Welles Wilder style moving average of the increases between consecutive prices. Used in the calculation of the RSI.
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True Strength Index (TSI)
The True Strength Index (TSI) is a variation of the Relative Strength Index (RSI). The TSI uses a double smoothed exponential moving average of price momentum to eliminate choppy price changes and spot trend changes. This indicator has a little or no time lag.