Corrected Moving Averages Use Volatility Thresholds to Filter Signals

Summary

The document describes a corrected moving average (CMA) that uses a volatility dependent threshold to decide whether the average should move. It compares variance with the squared difference between the corrected and regular averages; the current time series must exceed the threshold for the filter to advance. This is intended to reduce false signals during weak market phases.

The document provides a brief conceptual description rather than equations, parameter guidance, or empirical results. It also notes that the indicator can change color when its slope changes. No asset class, test period, or performance evidence is given, so the description does not establish whether the filter improves trading outcomes or how it should be implemented.

Key ideas

• The corrected moving average uses a volatility dependent threshold to govern changes in the filter.
• The threshold comparison involves variance and the squared difference between corrected and regular averages.
• The stated purpose is to avoid false signals during weak phases.
• A display option can change the indicator color when its slope changes.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.