Индикатор Трикс (Triple Exponential Moving Average, TRIX)

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Triple Exponential Average (TRIX)

What Is the Triple Exponential Average

The Triple Exponential Average (TRIX) is a momentum indicator used by technical traders that shows the percentage change in a triple exponentially smoothed moving average. When it is applied to triple smoothing of moving averages, it is designed to filter out price movements that are considered insignificant or unimportant. TRIX is also implemented by technical traders to produce signals that are similar in nature to the Moving Average Convergence Divergence (MACD).

Understanding the Triple Exponential Average

Developed by Jack Hutson in the early 1980s, the Triple Exponential Average (TRIX) has become a popular technical analysis tool to aid chartists in spotting diversions and directional cues in stock trading patterns. Although many consider TRIX to be very similar to MACD, the primary difference between the two is that TRIX outputs are smoother due to the triple smoothing of the exponential moving average (EMA).

As a powerful oscillator indicator, TRIX can be used to identify oversold and overbought markets, and it can also be used as a momentum indicator. Like many oscillators, TRIX oscillates around a zero line. When it is used as an oscillator, a positive value indicates an overbought market while a negative value indicates an oversold market. When TRIX is used as a momentum indicator, a positive value suggests momentum is increasing while a negative value suggests momentum is decreasing. Many analysts believe that when the TRIX crosses above the zero line, it gives a buy signal, and when it closes below the zero line, it gives a sell signal. Also, any divergence between price and TRIX can indicate significant turning points in the market.

Readers are encouraged to explore our deeper dive into the advantages of TRIX.

Calculating TRIX

First, the Exponential Moving Average of a price is derived from the expression:

Followed by the second smoothing of the obtained average is executed—double exponential smoothing:

The double Exponential Moving Average is smoothed exponentially one more time—hence, the Triple Exponential Moving Average:

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Индикатор TRIX

С целью определения моментов разворота тренда, трейдеры используют индикатор Трикс, также известный как TRIX. Этот инструмент помогает определить точку входа на рынок. Чтобы торговать с помощью индикатора Трикс, нужно всего лишь освоить несколько правил. В случае, когда индикатор направлен вверх и пересекается со средней линией, рекомендуется приобретать опцион Call. А при пересечении нулевой линии во время направления индикатора вниз, появляется сигнал для скупки опционов Put. Однако, делать выводы, исходя из показания, исключительно этого индикатора не стоит, так как аккуратность решений может быть низкой.

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Незначительные скачки в ценах, сглаживаются индикатором Трикс. Эта задача является приоритетной. Данный инструмент представляет собой сочетание двух элементов: скорость изменения и скользящие средние. Формула расчета и сам индикатор уникальны. Графически индикатор имеет форму кривой, движущейся возле нулевого уровня. В связи с тем, что индикатор самостоятельно не может давать точные сигналы, его применение оправдано лишь с дополнительными инструментами, например, со скользящей средней.

Индикатор основан на экспоненциальных скользящих средних (ЕМА), для которых выбираются необходимые периоды. Расположение кривой над нулевым уровнем означает, что количество покупателей превышает число продавцов. Когда индикатор направляется сверху вниз, и по пути пересекает нулевую линию, то трейдер покупает опционы Put. Ведь подобное поведение рынка говорит о наличии нисходящего тренда. Преобладание на рынке продавцов наблюдается, когда индикатор располагается под нулевым уровнем. При этом, если кривая растет и пересекает нулевую линию, то на рынке закрепляется восходящий тренд. В таких случаях трейдеру следует покупать опционы Call.

При добавлении к графику сигнальной линии, ее пересечение с идущей вниз кривой индикатора говорит о необходимости покупки опционов Put. В тех же обстоятельства, но при смене направления, поступает сигнал для покупки опционов Call. Трейдерам важно помнить, что использовать индикатор Трикс нужно только при наличии тренда. В противном случае, индикатор начинает посылать ложные сигналы.

Advantages of TRIX — Triple Exponential Average

Long-time readers of Technical Analysis of Stocks and Commodities magazine may remember that is was Jack Hutson, an editor of the magazine, that first introduced TRIX to the technical community.

What Is TRIX?
The triple exponential average (TRIX) indicator is an oscillator used to identify oversold and overbought markets, and it can also be used as a momentum indicator. Like many oscillators, TRIX oscillates around a zero line. When it is used as an oscillator, a positive value indicates an overbought market while a negative value indicates an oversold market. When TRIX is used as a momentum indicator, a positive value suggests momentum is increasing while a negative value suggests momentum is decreasing. Many analysts believe that when the TRIX crosses above the zero line it gives a buy signal, and when it closes below the zero line, it gives a sell signal. Also, divergences between price and TRIX can indicate significant turning points in the market.

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TRIX calculates a triple exponential moving average of the log of the price input over the period of time specified by the length input for the current bar. The current bar’s value is subtracted by the previous bar’s value. This prevents cycles that are shorter than the period defined by length input from being considered by the indicator.

Advantages of TRIX
Two main advantages of TRIX over other trend-following indicators are its excellent filtration of market noise and its tendency to be a leading than lagging indicator. It filters out market noise using the triple exponential average calculation, thus eliminating minor short-term cycles that indicate a change in market direction. It has the ability to lead a market because it measures the difference between each bar’s «smoothed» version of the price information. When interpreted as a leading indicator, TRIX is best used in conjunction with another market-timing indicator — this minimizes false indications.

Interpretation
On this chart of the Dow Jones Industrial Average covering Sept 2001 to Sept 2002, you can see by the arrows that the TRIX indicator, from the high of Mar 2002 to the low watermark set in Jul 2002, was falling from a level of plus 40.45 to a minus 83.07. This example clearly shows that there is not any lag time between the DJIA tuning south and the TRIX indicator following this price action. (Tradestation 6 charting software uses a nine-day moving average as the default, which helps dramatically for timing the directional moves.) We have seen that the shorter the time frame, the more accurate the indicator will signal the move in the issue we are studying.

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Using two moving averages offers an advantage: by watching the fast moving average cross over the slow moving average, the trader can recognize the change in direction of price action. (See Understanding Moving Average Covergence Divergence.) Using two different time spans for the TRIX is also an excellent timing technique.

In the 2001-2002 chart of the S&P 500 Index above, the first highly visible move was the downturn of the market after the disasters of Sept 11. There was a subsequent rebound in the third week of September, with the 15-day moving average turning quicker than the 30-day moving average. But keep in mind that the confirmation from the 30-day indicator is more conservative, so it assures the average buy-and-hold investor that the trend has truly turned. Look closely at how well the turns in the 15-day moving average line up with the turns in the price action.

This idea of a trendline violation in price can be looked at from another angle. Martin Pring, a well-known technician and author, noted this in his writings:

«If a series such as the slow moving 30-day TRIX is overbought but still rallying, then a trendline violation in the price will almost certainly lead or correspond with a peak in the TRIX. This is because a trendline violation signals a break in upside momentum. The penetration will be followed by either a decline or a temporary sideways move. In both cases this implies that the additional upside momentum required for an advancing TRIX is no longer available.»

If we look closely at some of the other momentum indicators like a stochastics or a price ROC, we would find a similar pattern.

TRIX is one of the best trend reversal and momentum indicators we have in our daily arsenal.

Remember it’s your money — invest it wisely.

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