STD-Filtered, Ultra Low Lag Moving Average

The STD-Filtered, Ultra Low Lag Moving Average indicator provides a high-performance FIR filter designed to smooth price action with minimal lag and reduced noise via standard deviation stepping.

Usage

The Usage section describes how the script can be used to identify trend direction and potential reversal points with extreme responsiveness. Traders can use this tool as a primary trend filter or a signal generator.

• Trend Identification: The indicator colors the moving average and price bars based on the current slope. A green line indicates an uptrend, while a red line indicates a downtrend.
• Signal Generation: The script includes built-in "L" (Long) and "S" (Short) signals that appear when the direction of the moving average changes.
• Noise Reduction: By adjusting the Filter Deviations and Filter Period, users can prevent the moving average from reacting to insignificant price fluctuations, creating a "stepping" effect that holds the previous value until a significant move occurs.
• Source Flexibility: Using the Heiken-Ashi Better (HAB) source options allows for even smoother inputs, which can be further customized using Kaufman or AMA smoothing types.

Details

The indicator utilizes a Finite Impulse Response (FIR) filter. Unlike Infinite Impulse Response (IIR) filters, FIR filters have a finite duration and do not use internal feedback, ensuring the output settles to zero in a fixed timeframe.

The weights for this specific FIR filter are derived from a Normalized Cardinal Sine (sinc) function. In digital signal processing, the sinc function is used to create an ideal low-pass filter. This implementation "convolves" the price data with these weights to achieve maximum smoothing while maintaining a flat phase response, which is the mathematical foundation for its "Ultra Low Lag" properties.

The addition of a Standard Deviation Filter (STD-Filter) allows the user to apply a threshold to the price or the indicator output. If the change in value is less than the calculated standard deviation multiplied by the user-defined factor, the value remains unchanged. This effectively filters out market "hiss" or sideways noise.

Settings

Source Settings

• Heiken-Ashi Better Smoothing: Selects the smoothing algorithm (AMA, T3, or Kaufman) used when a "HAB" source is selected.
• Source: Choose from various price inputs, including standard price points, Heiken-Ashi, and Heiken-Ashi Better variations.

Basic Settings

• Period: The lookback period for the FIR filter calculation.
• Type: Adjusts the cycle frequency of the sinc function (0-3). Lower values generally result in smoother outputs, while higher values increase responsiveness.

Filter Settings

• Filter Options: Determines whether the standard deviation filter is applied to the raw Price, the ULLMA output, Both, or None.
• Filter Deviations: The multiplier for the standard deviation. Higher values create larger "steps" and more lag but significantly less noise.
• Filter Period: The lookback period used to calculate the standard deviation for the noise filter.

UI Options

• Color bars?: Toggles the coloring of price bars based on the indicator trend.
• Show signals?: Toggles the visibility of Long and Short labels on the chart.

Moving Average Inputs

• Kaufman's Adaptive MA (KAMA) Only: Fine-tunes the fast and slow constants if Kaufman smoothing is selected.
• Adaptive Moving Average (AMA) Only: Fine-tunes the fast and slow periods if AMA smoothing is selected.

FAQ

How do I adjust the responsiveness of the indicator? You can increase responsiveness by lowering the Period or increasing the Type value. Conversely, to increase smoothing, increase the Period or increase the Filter Deviations.

What does the "Type" setting change? The Type setting modifies the underlying sinc function cycles. Type 0 is the default and provides a balance of smoothing and lag, while higher types increase the frequency response.

How can I access the STD-Filtered, Ultra Low Lag Moving Average? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.