Reducing Moving Average Lag with an Adjustable Extrapolation Factor

Summary

The document describes a lag-reduction adjustment applied to a simple moving average. It first calculates a moving average over a configurable period, then uses the ratio between its current and prior values, raised through a logarithmic and exponential transformation scaled by an adjustable factor, to modify the displayed series. The example uses a 20-period average and a factor of 1.3.

The factor controls the strength of the lag adjustment, and the author notes that the approach is related to zero-lag methods without being the same calculation. The input could also be changed from a moving average to another data series. No comparisons, market examples, or performance tests are provided, so the document explains an indicator construction rather than demonstrating that it improves trading decisions. Stronger lag reduction may also change the series’ responsiveness; the text does not assess that tradeoff.

Key ideas

• The method adjusts a simple moving average using the ratio of consecutive average values.
• A configurable factor controls the strength of the lag reduction.
• The example specifies a 20-period moving average and a factor of 1.3.
• The author distinguishes the formula from a true zero-lag calculation while placing it in a similar category.
• No testing is supplied to establish predictive value or the impact of increased responsiveness.

Tags

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