1 / 13

Moving Average

Moving Average. What is Moving Average?. Moving averages - popular tools Low-pass filter data series spot trends. The two most popular moving averages Are SMA and EMA. Simple Moving Average (SMA) Exponential Moving Average (EMA). SMA (Simple Moving Average). Ex: 5 data point window

durin
Télécharger la présentation

Moving Average

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Moving Average

  2. What is Moving Average? • Moving averages - popular tools • Low-pass filter data series • spot trends

  3. The two most popularmoving averagesAre SMA and EMA. • Simple Moving Average (SMA) • Exponential Moving Average (EMA)

  4. SMA (Simple Moving Average) • Ex: 5 data point window • 10+11+12+13+14 = 60 • SMA = 60/5 = 12 Then next data (6th data) coming) • 11+12+13+14+15 = 65 • SMA =65/5 =13

  5. 10 Data SMA

  6. Weighted Moving Average More recent values have A higher weight P1 is most recent

  7. Denominator • Denominator is a series that comes to (N**2 + N) / 2

  8. WMA updates

  9. Exponential Moving Average (EMA) • reactsfasterthan SMA • Lower lag than SMA • recent data has more weight The most used MAs are:SMA(10) SMA(50) SMA(100)SMA(200) EMA(20)

  10. Formula for EMA • period-based EMA, "Multiplier" is equal to 2 / (1 + N) where N is the specified number of periods. • For 10-period EMA Multiplier is

  11. EMA, the sum

  12. Example of EMA • For the first period's EMA, the simple moving average was used as the previous period's exponential moving average (yellow highlight for the 10th period). • From period 11 onwards, the previous period's EMA was used. The calculation in period 11 breaks down as follows: • (C - P) = (61.33 - 63.682) = -2.352 • (C - P) x K = -2.352 x .181818 = -0.4276 • ((C - P) x K) + P = -0.4276 + 63.682 = 63.254

  13. EMA why Exponential:

More Related