Projected Moving Average: Reducing Simple Moving Average Lag

Summary

This note explains a projected moving average (PMA) proposed by John Ehlers as a way to reduce the delay inherent in a simple moving average (SMA). It frames the SMA as an estimate centered within its observation window, which means the plotted average trails changing prices. The PMA estimates a forward adjustment by adding a slope-based projection to the SMA.

The described procedure calculates the linear regression slope over the same lookback used for the average, multiplies that slope by half the window length, and adds the result to the SMA. The note provides no backtest, performance comparison, or evidence that the projection improves trading results. Because the adjustment extrapolates a fitted trend, it may be less reliable when price direction changes or the local relationship is nonlinear. It is presented as an indicator construction, not as a complete entry, exit, or risk-management strategy.

Key ideas

• A simple moving average represents the center of its input window and therefore trails price changes.
• The projected moving average adds a slope-based estimate of the distance from the window center to its edge.
• The projection uses the linear regression slope over the same lookback as the average.
• The note describes the calculation but supplies no trading-performance evidence.
• Trend extrapolation can be unreliable when the market changes direction.

Tags

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