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Another reference is William Blau, 'Momentum, Direction and Divergence',
where Blau applies double smoothing to a variety of indicators. I'm not sure
who had the idea first.
Andrew
-----Original Message-----
From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx]
On Behalf Of pumrysh
Sent: Sunday, July 01, 2007 11:00 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Re: Derivation of Tema moving average
formula
Arun,
Finally had some time to put together some information for you on the
indicator that you requested.
Important to remember that the TEMA and the DEMA were both developed by
Patrick Mulloy. They both use unique methods to determine their final
values. I believe the following information explains everything.
DEMA and TEMA are unique smoothing indicators developed by Patrick Mulloy.
TEMA was originally introduced in the January 1994 issue of Technical
Analysis of Stocks & Commodities magazine. As Mr.
Mulloy explains in the article:
"Moving averages have a detrimental lag time that increases as the moving
average length increases. The solution is a modified version of exponential
smoothing with less lag time." TEMA is an acronym that stands for Triple
Exponential Moving Average. HOWEVER, the name of this smoothing technique is
a bit misleading in that it is not simply a moving average of a moving
average of a moving average. It is a unique composite of a single
exponential moving average, a double exponential moving average, and a
triple exponential moving average that provides less lag than either of the
three components individually.
{Arun DTMA}
{Plots either a DEMA or TEMA}
Plot:= Input("Display [1] Dema[2] Tema",1,2,2); Period:= Input("What
Period",1,250,10); EMA1:= Mov(C,Period,E); EMA2:= Mov(EMA1,Period,E); EMA3:=
Mov(EMA2,Period,E); Difference:= EMA1 - EMA2; DMA:= EMA1 + Difference;
TMA:=(3*(EMA1-EMA2))+EMA3; If(plot=2,TMA,DMA);{end}
Hope this helps,
Preston
--- In equismetastock@xxxxxxxxxxxxxxx
<mailto:equismetastock%40yahoogroups.com> , "arun103" <arun103@xxx> wrote:
>
> Hello everybody,
>
> The following formula is for plotting a 10-period tema moving
> average:
>
> (3*Mov(C,10,E)-(3*Mov(Mov(C,10,E),10,E))+(Mov(Mov(Mov
> (C,10,E),10,E),10,E)))
>
> How does one derive this formula?
>
> Looking at the derivation of a Zero Lag EMA, I have proceeded as
> follows but I don't get the above formula. I know I'm wrong somewhere.
>
> EMA1:=mov(C,10,E);
> EMA2:=mov(EMA1,10,E);
> EMA3:=mov(EMA2,10,E);
> Difference1:=EMA1-EMA2;
> Difference2:=EMA2-EMA3;
> Teema{Tema}:=EMA1+Difference1+Difference2;
>
> Please correct me.
>
> Thanks
>
> Arun
>
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