HammingMovingAverage — Hamming Moving Average

A cosine-tapered weighted average. The Hamming window drops the weight at both edges, so a bar enters and leaves the average gently instead of falling off a cliff — less edge ringing than a WMA or SMA of the same length.

Signature

HammingMovingAverage(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Window. Default 20, bounds 1–400.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ w_i = 0.54 - 0.46\cos!\left(\frac{2\pi i}{n-1}\right), \quad \text{HMA}_{\text{Hamming}} = \frac{\sum_i w_i C_i}{\sum_i w_i} $$

Warmup

period bars; during the lead-in the window is built over the bars available.

Reading the value

ham.value
ham.crossed_above(other)

Example

class HammingBaseline(Strategy):
    """A smooth, symmetric baseline with soft window edges."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        ham = HammingMovingAverage(20, on=self.trade)
        if self.trade.close > ham.value and self.trade.is_flat:
            self.buy(self.trade, reason="Above Hamming MA")
        if self.trade.close < ham.value and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Below Hamming MA")

Notes

• The Hamming window from signal processing, applied as price weights.
• Symmetric like TRIMA, so it lags by roughly half the window — not a low-lag average, and not related to Hull’s HMA despite the name collision.
• Proven by an assert-via-trade run on SPY daily (matched a strategy-side cosine-weight reference to 1e-3 on every bar; zero alarm trades).