66 Hull Exponential Moving Average (hma)

The HMA attempts to remove lag in its entirety, while simultaneously improving upon smoothing. To calculate the Hull Moving Average, follow the steps below.

Begin by calculating a Weighted Moving Average with period n / 2 and then multiply this value by 2.

Next, go ahead and calculate another Weighted Moving Average for period n and then subtract this value from the result in Step 1.

Finally, calculate a Weighted Moving Average with period sqrt(n)by using the data you’ve collected from the results of Step 2.

Another version of this calculation can be found below.

HMA = WMA(2*WMA(n/2) − WMA(n)),sqrt(n))

Below are two HULL at different time windows.

Figure 9.13: Holt Winter Moving Average