Alternative Keltner calculation using NWMA
As originally described by Manfred G. Dürschner. Applies an inverse fisher transform to an aroon oscillator calculated using smoothed price. Smoothing is done via NWMA or "Moving Average 3.0". Signals are Buy > 0 and Sell < 0 length 1 must be at least twice length 2 (lambda >= 2.0)
This is a two year strategy return of our 2-year strategy inspired to Manfred G. Dürschner Aroon-Oscillator-IFT-NWMA Trading System . Even if our strategy is similar, Fast and Short NWMA MA crossover is specifically tuned from the original paper and we used an additional Force Filter and exit method. Our opensource NWMA implementation in Pine Script is here...
PineScript Implementation of Moving Average 3.0 first referenced by Manfred G. Dürschner as New wma or Nwma. See amazing original paper Moving Averages 3.0 at page 27: ifta.org As shown in the picture Nwma is performing better than DEMA, TEMA, EMA, and other common used moving averages such as Hull MA that is prone to overshooting. With NWMA lag is extremely...