Variable Moving Average (VMA)

Variable Moving Average (VMA)

A VMA is an EMA that is able to regulate its smoothing percentage based on market inconstancy automatically. Its sensitivity grows by providing more weight to the ongoing data as it generates a better signal indicator for short and long-term markets.

The majority of ways for measuring Moving Averages cannot compensate for sideways moving prices versus trending markets and often generate a lot of false signals. Longer-term moving averages are slow to react to reversals in trend when prices move up and down over a long period of time. A Variable Moving Average regulates its sensitivity and lets it function better in any market conditions by using automatic regulation of the smoothing constant.

The Variable Moving Average is also known as the VIDYA Indicator. But this version is a modified concept of the VIDYA.

The Variable Moving Average was developed by Tushar S. Chande and first presented in his March, 1992 article in Technical Analysis of Stocks & Commodities magazine, in which a standard deviation was used as the Volatility Index. In his October, 1995 article in the same magazine, Chande modified the VIDYA to use his own Chande Momentum Oscillator (CMO) as the Volatility Index, the VMA code below is the result of this modification.

 

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  1. Matriciel • 164 days ago #

    Bonjour Nicolas,

    Je me suis amusé à doubler la VMA. Je ne sais pas si cela a un intéret…mais maintenant c’est fait ! 🙂

    //PRC_Variable Moving Average | indicator
    //14.12.2016
    //Nicolas @ www.prorealcode.com
    //Sharing ProRealTime knowledge
    //converted and adapted from Pinescript version
    
    // --- parameters
    src=customclose
    //l = 4
    
    if barindex>l then
    k = 1.0/l
    pdm = max((src - src[1]), 0)
    mdm = max((src[1] - src), 0)
    pdmS = ((1 - k)*(pdmS[1]) + k*pdm)
    mdmS = ((1 - k)*(mdmS[1]) + k*mdm)
    s = pdmS + mdmS
    pdi = pdmS/s
    mdi = mdmS/s
    pdiS = ((1 - k)*(pdiS[1]) + k*pdi)
    mdiS = ((1 - k)*(mdiS[1]) + k*mdi)
    d = abs(pdiS - mdiS)
    s1 = pdiS + mdiS
    iS = ((1 - k)*(iS[1]) + k*d/s1)
    hhv = highest[l](iS)
    llv = lowest[l](iS)
    d1 = hhv - llv
    vI = (iS - llv)/d1
    vmacourte = (1 - k*vI)*(vmacourte[1]) + k*vI*src
    endif
    
    // --- parameters
    src2=customclose
    //l2 = 9
    
    if barindex>l2 then
    k2 = 1.0/l2
    pdm2 = max((src2 - src2[1]), 0)
    mdm2 = max((src2[1] - src2), 0)
    pdmS2 = ((1 - k2)*(pdmS2[1]) + k2*pdm2)
    mdmS2 = ((1 - k2)*(mdmS2[1]) + k2*mdm2)
    s2 = pdmS2 + mdmS2
    pdi2 = pdmS2/s2
    mdi2 = mdmS2/s2
    pdiS2 = ((1 - k2)*(pdiS2[1]) + k2*pdi2)
    mdiS2 = ((1 - k2)*(mdiS2[1]) + k2*mdi2)
    d2 = abs(pdiS2 - mdiS2)
    s12 = pdiS2 + mdiS2
    iS2 = ((1 - k2)*(iS2[1]) + k2*d2/s12)
    hhv2 = highest[l2](iS2)
    llv2 = lowest[l2](iS2)
    d12 = hhv2 - llv2
    vI2 = (iS2 - llv2)/d12
    vmalongue = (1 - k2*vI2)*(vmalongue[1]) + k2*vI2*src2
    endif
    
    RETURN VMACOURTE coloured (100,100,215), VMALONGUE coloured (255,0,150)

     

  2. Matriciel • 164 days ago #

    Je n’arrive pas à joindre l’image qui montre la VMA Doublée…:(

    • Nicolas • 164 days ago #

      Merci pour l’indicateur double VMA ! En effet, ajouter des images serait un plus dans les commentaires, je dois m’en occuper prochainement.

  3. Ernesto1 • 162 days ago #

    L’ indicateur a changé de Matriciel, pas vu sur 10-3.
    vous  pouvez résoudre ce problème?
    merci

    • Nicolas • 162 days ago #

      Une solution rapide consisterait à placer 2 fois l’indicateur avec des valeurs de “l” différente sur votre graphique Ernesto1.

  4. supertiti • 160 days ago #

    Voici un code de VIDYA construit par Sohocool :

    // MOYENNE EXPONENTIELLE ADAPTIVE VIDYA by Soho
    
    a=2/(n+1)
    if (STD[m](close)) <> 0 then
    k= STD[n](close) / (std[m](close))
    filt= a*k*close + (1-(a*k))*filt[1]
    else
    filt=close
    endif
    cc = customclose
    
    return cc as " cc " , filt as "vidya"
    
    // variables :
    //  n =  9  alpha et standard deviation
    //  m = 30  standard deviation
    //  a  = alpha
    

     

    • Matriciel • 160 days ago #

      Merci Supertiti.

      Je trouve que ce code est difficile à règler et n’est pas d’une grande précision.

  5. Ernesto1 • 160 days ago #

    J’ai essayé avec deux différents I ,  a =  3 périodes et un 3 x 5 = 15 périodes.
    Ie comme si le TF est lissée de 3 minutes à 15 minutes, ceci est le résultat ..

  6. Wilko • 63 days ago #

    Nicolas, anytime I have an idea, I just search for it on ProRealCode and usually you have done an adaptation. Excellent work, thanks!

    I am aware I have promised to post something of my own, and would very much like to adapt the above to use R2 instead of CMO. However, this is spontaneously above my capabilities. Any chance you would be interested to have a go?

     

    Kind regards,

    Wilko

    • Nicolas • 62 days ago #

      Of course! please add a query in probuilder forum and we’ll work together on this indicator project.

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