Close Minus Moving Average – CMMA

Note: Please install before CMMA Log ATR indicator.

The idea for this indicator came from Timothy Masters, author of the book Statistically Sound Indicator For Financial Market Prediction.

We simply compute the moving average of log closing prices over a look-back period that does not include the current case and subtract it from the log value of the current closing price. The normalization of this indicator is composed of three components. The most important one is divided by the actual range of log prices with ATR, which includes the current bar. This scaling compensates for both regimes and markets with different inherent volatility. A second normalization is that we divide by the square root of one plus the lookback.

Source: Statistically Sound Indicators For Financial Market Prediction: Algorithms in C++

The indicator has one line:

1. CMMA

 We have added these conditions as custom blocks:

• CMMA is above/below Level
• CMMA is rising/falling
• CMMA crosses above/below Level

Indicator is implemented for: MT4/MT5/Tradestation/ Multicharts.

You can download the indicator and conditions here.