3 versions of the Hull Average
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For the past year, before v11, I have been using this hard coded version of the Hull average:
123Period = 20inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice)HULL = weightedaverage[round(sqrt(Period))](inner)Now that it is built in to v11, it can be written as
1HullAverage[20](typicalPrice)or
1average[20,8](typicalprice)As someone who uses this MA a lot, this should simplify my life. Except that they all give different results. The first image is the hard code, the second is hullaverage [20](typicalprice) and the third is average [20,8](typicalprice).
I chose this algo for testing as it uses 3 instances of this MA. I would not conclude that the hard coded version (which was written by Vonasi, btw), is the ‘best’ — it probably gives the best result because the whole algo was designed around it. I’m only posting this to show that the 3 are not interchangeable. I was especially surprised to see such a difference between the 2 built-in versions, you’d really think they should be the same.
If anyone’s interested, this is the original formula from Alan Hull’s website:
Integer(SquareRoot(Period)) WMA [2 x Integer(Period/2) WMA(Price) – Period WMA(Price)]
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Have you created an indicator to compare them all directly? My platform is closed at the moment so I can’t test.
123456789Period = 20inner = 2*weightedaverage[round( Period/2)](typicalprice)-weightedaverage[Period](typicalprice)HULL1 = weightedaverage[round(sqrt(Period))](inner)HULL2 = HullAverage[20](typicalprice)HULL3 = average[20,8](typicalprice)return Hull1, hull2, hull31 user thanked author for this post.
odd one out is average[20,8](typicalprice)
where did you get 8 from?
See attached, now unless v11 is different from v10.3 … Simple MS is 0 which makes Hull 7 and 8 is Zero Lag Exponential?
Attached is from v11 btw
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Borrowed description from elsewhere – ‘The Hull Moving Average uses two different weighted moving averages of price, plus a third WMA to smooth the raw moving average’. So the ‘price’ can be typical price, weighted price, total price or actual price. I stole the code from somewhere else so unless PRT stole it from the same place (or from me!) then I suspect Hull average is supposed to be calculated using typical price as they all agree on the returned value.
At the end of the day whatever ‘price’ you use in the calculation matters very little – it s still an average that can be curve fitted so why not just use all Hull averages based on all possible price types and all possible periods until you find one that fits!
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