Moving Averages with Reduced Lag Time

Valeriy Zakamulin () and Javier Giner ()
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Valeriy Zakamulin: University of Agder, Norway
Javier Giner: University of La Laguna

Chapter Chapter 9 in The Ultimate Moving Average Handbook, 2025, pp 311-347 from Springer

Abstract: Abstract Proponents of zero-lag moving averages claim they are both highly responsive and exceptionally smooth, yet these claims lack objective validation. With the introduction of quantitative measures, we can now systematically analyze their properties. This chapter examines whether zero-lag moving averages truly achieve minimal lag and high smoothness simultaneously and whether they offer a meaningful advantage over traditional moving averages. The analysis reveals that while some zero-lag variants reduce lag and maintain smoothness, they do so at the cost of sacrificing accuracy. Additionally, trading rules based on these moving averages do not consistently outperform conventional alternatives. The findings highlight the inherent tradeoffs between responsiveness, accuracy, and smoothness, suggesting that optimally balancing all three properties is extremely difficult, if not impossible.

Date: 2025
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DOI: 10.1007/978-3-031-90907-8_9

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