New answers tagged moving-average
They are different things, it depends on what you are looking for: Bollinger bands are constructed based on the standard deviation of closing prices over the last n periods. An analyst can draw high and low bands a chosen number of standard deviations (typically two) above and below the n-period moving average. The bands move away from one another when ...
The Blundell Ward filter is a fairly commonly used method for removing first order autocorrelation see; http://www.scribd.com/doc/142748206/Impact-of-Auto-correlation-on-Expected-Maximum-Drawdown#scribd
If you assume first order correlation and stationnary assumptions and no autocorrelation between true returns and estimated returns, the answer is the following Denote by $ R^e $ the estimated return, $R^t $ the true return and $ \rho $ the autocorrelation coefficient By assumptions, you have that $ R^e(t)= \rho R^e(t-1) + (1-\rho ) R^t(t) $ $ Cov( ...
got my answer myself, and the answer is: That depends, but people mostly use close price. http://www.macroption.com/calculating-moving-average-prices/
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