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True Range Adjusted Exponential Moving Average

Moving Averages moving-average adaptive true-range volatility

An exponential moving average that incorporates true range to measure volatility and adapt to price movements.

Usage

Use to identify trend turning points and filter price movements. Comparing TRAdj EMA with a standard EMA of the same length provides insights into the overall trend.

Background

Introduced by Vitali Apirine in TASC January 2023, TRAdj EMA modifies the standard exponential moving average by adjusting the smoothing factor using the True Range. The normalized true range modifies the rate, making the indicator more responsive during volatile periods while filtering out noise when volatility drops.

Parameters

  • period (default: 40): Smoothing period
  • pds (default: 40): Lookback period for True Range
  • mltp (default: 10.0): Multiplier

Formula

\[ TRAdj = \frac{TR - TR_{min}}{TR_{max} - TR_{min}} \\ Rate = \frac{2}{P+1} \times (1 + TRAdj \times Multiplier) \]

Source