Hull Moving Average (HMA)

Parameters: period = 16 (4–200)

Overview

The Hull Moving Average (HMA) was developed by Alan Hull in 2005 as an innovative solution to reduce the lag inherent in traditional moving averages while maintaining smoothness. The HMA achieves this seemingly impossible task through a clever multi-step process using weighted moving averages and the square root of the period to create a highly responsive yet smooth indicator.

The calculation involves doubling a weighted moving average of half the period and subtracting the full period WMA, then smoothing the result with another WMA using the square root of the period. This unique approach makes the HMA particularly effective for identifying trend changes early while filtering out market noise that might create false signals.

Interpretation & Trading Signals

Trend Identification:

  • Rising HMA: Prevailing uptrend - consider long positions
  • Falling HMA: Prevailing downtrend - consider short positions
  • HMA Direction Change: Early warning of potential trend reversal
  • Smooth Curve: Filters noise while maintaining responsiveness

Trading Signals (Turning Points):

  • Buy Signal: HMA turns upward (often accompanied by color change to green)
  • Sell Signal: HMA turns downward (often accompanied by color change to red)
  • Important: Alan Hull recommends using turning points, NOT crossovers
  • Confirmation: Best used with other indicators for signal validation

Calculation Formula:

  • Step 1: Calculate WMA(n) and WMA(n/2)
  • Step 2: Raw HMA = 2 × WMA(n/2) - WMA(n)
  • Step 3: Final HMA = WMA(√n) of Raw HMA
  • Default Period: 16 (recommended by Alan Hull)

Example Usage

Code examples will be available once the Rust implementation is complete.

Performance Analysis

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