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Zero lag exponential moving average

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The zero lag exponential moving average (ZLEMA) is a technical indicator within technical analysis that aims is to eliminate the inherent lag associated to all trend following indicators which average a price over time. As is the case with the double exponential moving average (DEMA) and the triple exponential moving average (TEMA) this indicator aims to reduce the lag.

History

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The indicator was created by John Ehlers and Ric Way around 2010.[1]

Formula

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The formula for a given N-Day period and for a given data series is:[2][3]

The idea is do a regular exponential moving average (EMA) calculation but on a de-lagged data instead of doing it on the regular data. Data is de-lagged by removing the data from "lag" days ago thus removing (or attempting to) the cumulative effect of the moving average.

References

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