TASC 2023.01 TRAdj EMA

2022年12月15日

█ OVERVIEW

TASC's January 2023 edition of Traders' Tips includes an article titled "True Range Adjusted ​Exponential ​Moving ​Average (TRadj ​EMA)" by Vitali Apirine. This code implements the indicator presented in that publication.

█ CONCEPTS

The True Range Adjusted ​Exponential ​Moving Average (TRAdj ​EMA) is a trend-following indicator that considers volatility for a quicker response to price changes. It is an ​​EMA​ that modulates its weighting factor based on the true range (TR) of the asset.
In a trading strategy, traders can use a TRAdj ​EMA in tandem with ​​an ​EMA of the same length to identify an asset's trend, or they can use it alongside ​another TRAdj ​EMA of a different length to identify turning points and filter price movements.

█ CALCULATIONS

The following steps are performed to calculate the indicator:

• Calculate the asset's TR according to the standard definition proposed by J. Welles Wilder, Jr.
• Define the ​true range adjustment factor as:
​ ​ ​ ​ ​ ​ ​ ​ TRAdj =(Current TR − Minimum TR) ⁄ (Maximum TR − Minimum TR),
where Maximum TR and Minimum TR are the maximum and minimum TR values over the specified lookback period.
• Calculate the TRAdj ​EMA in the same manner as a traditional ​​EMA, but with a weighting factor defined as:
​ ​ ​ ​ ​ ​ ​ ​ 2*(1 + TRAdj*Multiplier) ⁄ (​EMA length + 1),
where Multiplier is an input parameter that ranges from 5 to 10. For comparison, a traditional ​EMA uses a weighting factor of 2 ⁄ (​EMA length + 1).