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2000issue C031-3

Lookback length as a construction check for the modified moving average

A published default length of 2 can make a modified moving average plot as the close. A complete build uses a lookback that separates from price and then compares that series with an equal-length simple moving average on the same ordered observations.

  • A published default length of 2 for a modified moving average can make the average plot identically to a one-line close-price series.
  • A difference between a modified moving average and the underlying price can be recognized once the lookback length is 3 or larger.
  • A four-bar simple moving average and a four-bar modified moving average on the same standard price series can reproduce a published construction comparison.
  • When platform code does not match published charts, an independent spreadsheet build of the same construction can serve as the verification baseline.
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Current trackMoving average449 readings

Lookback length is a construction input

A moving average is a lookback smoother of ordered price observations over a defined sampling interval. A modified moving average is a moving-average construction meant to track price more closely than a same-length simple average while remaining a windowed filter rather than the raw close. A simple moving average is an equal-weighted average of ordered price observations over a stated lookback.

Lookback length is the number of sampling intervals in the average window. It is an explicit construction input that can hide or reveal the filter. A published default length of 2 for a modified moving average can make the average plot identically to a one-line close-price series. A difference between a modified moving average and the underlying price can be recognized once the length input is 3 or larger.

A construction check against price and a simple average

A construction check is a side-by-side plot of a candidate average against raw price and against a same-length simple moving average to confirm the smoother is not identical to the close.

A four-bar simple moving average and a four-bar modified moving average applied to the same standard price series can be used to reproduce a published construction comparison. One published illustration of two moving averages used a 10-bar lookback for each series.

Two averages after a mass index flag

After a mass index flags a possible reversal, two moving averages are used to identify the existing trend. In the supplied construction, the mass index is a range-based reversal screen followed by those two averages, which are used to read the existing trend.

A spreadsheet build as the verification baseline

When platform code for a modified moving average does not match published charts, an independent spreadsheet build of the same construction can serve as the verification baseline.

Four-bar modified versus simple average on the standard series

On the same ordered test series, a four-bar modified moving average stays a bar or so ahead of an equal-length simple average through the same peaks and troughs, so the filter is visibly distinct from a same-window SMA. Values were read from the printed EasyLanguage chart, which the letter says matches Figure 3 of Sharp’s January 2000 article.
On the same ordered test series, a four-bar modified moving average stays a bar or so ahead of an equal-length simple average through the same peaks and troughs, so the filter is visibly distinct from a same-window SMA. Values were read from the printed EasyLanguage chart, which the letter says matches Figure 3 of Sharp’s January 2000 article.Standard series (Joe Sharp) · 4-bar

The published default length of 2 makes the modified average plot as the close; this chart uses length 4 so the filter separates from price. The letter notes the two averages in the original Figure 4 were 10-bar.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
7 of 15 in the Moving average track
20011-6 pp.Next on Moving averageSmoothing balance of market power with a moving averageThe raw per-bar series is close minus open, divided by high minus low, from ordered open, high, low, and close observations.
All readings on this track · 15 readings
  1. 1990Building a percent-difference moving-average oscillator
  2. 1991Ease of movement oscillator construction
  3. 1993A twelve-month moving-average filter for inflation direction
  4. 1993Constructing two-endpoint JSA moving averages
  5. 1999Centered moving averages for trend construction
  6. 2000Constructing a slope-corrected moving average
  7. 2000Lookback length as a construction check for the modified moving average
  8. 2001Smoothing balance of market power with a moving average
  9. 2005Three-state moving-average directional breakout construction
  10. 2005Constructing a move-adjusted moving average
  11. 2005Moving-average construction: windows, weights and stops
  12. 2008Constructing stacked moving-average filters
  13. 2011Constructing percentage-offset moving-average bands
  14. 2015Linearity, commutation, and ratio smoothing in moving averages
  15. 2019Constructing a 50-200 sma-channel for swing entries and exits
By fieldIndicators and filters682 readingsBy year200059 readings
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