Hull Moving Average - Aussie Stock Forums

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  1. #1

    Default Hull Moving Average

    Has anybody any views on the Hull Moving Average (a moving average devised by Alan Hull which attempts to overcome the usual lags caused by MAs)? See the link for more details - http://www.ensignsoftware.com/tips/tradingtips72.htm

    I read one review which claimed that Hull was effectively using future data to plot his MA. I haven't looked at this in depth yet but wondered whether others thought there is any merit in spending time on it.

  2. #2

    Default Re: Hull Moving Average

    This is the Metastock code for Hulls M/A


    The problem lies in the LastValue function.This function loads the whole data array with the last value of sqrtperiod which ofcourse has been calculated over the entire period of the data array.As such a figure which would change with price action becomes a constant rather than a dynamic.In this way it can be seen as giving a figure--IE that calculated as a future value--as you can see as time goes on the figure would chnage from that which is at the time of calculation accepted as a constant.

    Here is a chart showing the difference.
    If I was to show the M/A in 6 mths time it would look totally different to todays plot. It would appear to move.As data used in the calculation in 6 mths time will be different to todays "Lastvalue" ---- Where as the "Normal" M/A would remain in place.
    Attached Images

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