3 versions of the Hull Average

nonetheless · Mon, 18 Jan 2021 18:16:15 +0000

For the past year, before v11, I have been using this hard coded version of the Hull average: Period = 20 inner = 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 HullAverage[20](typicalPrice) or average[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)]

This topic has 18 replies, 5 voices, and was last updated 4 years ago by robertogozzi.

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01/19/2021 at 8:50 AM #158426

Nicolas

Erratum, it is 7 and not 8 and they are together the same.

return average[20,7](typicalprice),HullAverage[20](typicalPrice)

1	return average[20,7](typicalprice),HullAverage[20](typicalPrice)

The difference with the coded version could come from the rounding of the period.

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nonetheless

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01/19/2021 at 12:44 PM #158478

robertogozzi

Predefined MM HULL (20 periods) uses TYPICALPRICE and matches exactly my two custom indicators:

Period = 20
src    = CustomClose
x1     = WeightedAverage[Period](src)
x2     = (2 * WeightedAverage[round(Period/2)](src)) - x1
HullMA = WeightedAverage[round(sqrt(Period))](x2)
RETURN HullMA

Period = 20

src = CustomClose

x1 = WeightedAverage[Period](src)

x2 = (2 * WeightedAverage[round(Period/2)](src)) - x1

HullMA = WeightedAverage[round(sqrt(Period))](x2)

RETURN HullMA

p = 20
RETURN average[p,7](TypicalPrice)

1 2	p = 20 RETURN average[p,7](TypicalPrice)

Predefined HULL MOVING AVERAGE (20 periods) uses CLOSE , so it cannot match the other two. If you use CLOSE also with the other predefined MM HULL (and custom ones) they will match.

The difference is not due to rounding.

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01/19/2021 at 1:16 PM #158492

nonetheless

does CustomClose not need to be defined?

nonetheless

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01/19/2021 at 1:28 PM #158498

robertogozzi

Using CustomClose implies the properties to ask users what price they want the indicator to be applied to (a dropdown list will allow you to select Close, Low, High, Open, TypicalPrice. MedianPrice, ….).

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