Questions tagged [moving-average]

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185 views

What is the fastest common moving average?

I am trying to find what standard moving average would give me the fastest adjustment or strongest weight to most recent data, but without changing the number of periods. Here is some sample data and ...
31 views

What is the difference between Rolling Returns and Moving Average and how to calculate them?

So I understand what a moving average is and how to calculate it. I'm using this numpy function for it. I am somehow confused about how to calculate rolling returns. Different sites explain it ...
56 views

Can MACD be calculated for values other than 12 and 26?

I am working on time-series classification problem using Convolutional Neural Networks in Python. The data-set used is financial stock market data (like yahoo finance). I am using some technical ...
142 views

Half life of Exponetial Weighted Moving Average

I am trying to apply a volatility strategy. I am reading a paper where the authors defined the volatility as: "Exponential Weighted Volatility of returns with a 1-year window and 3-month half-life" ...
84 views

Exponential Smoothing - Alpha greater than 1

Simple stats question. I'm having trouble finding anything in the literature as to why the smoothing coefficient can never be greater than 1. This question was started by me doing time series ARIMA ...
252 views

Detect trend of an index

My question is about determining the trend and it can break down to 3 parts. To clarify, a trend in my point of view, and in simple form, is the last close at time t relative to its time reference, i....
68 views

Can I make the simple moving average less lagging by this method?

I have (T+3) predicted prices for a stock. Let us assume that the predicted prices are going to be very close to the actual prices. can I alter the formula of simple moving average for 20 days like ...
326 views

Where to get historical equity data?

I have a decade of experience as a software engineer, but little quantitative finance knowledge. I have an idea for a simple trading strategy based around moving averages. In order to test it, I'd ...
404 views

What should the half-life be in EWMA when calculating VaR from EWMA?

If we want to calculate an $x$-day VaR ($x$ is some time period in days) from an Exponentially Weighted Moving Average (EWMA) of vector of returns, what should the half-life in the decay factor in ...
88 views

Pricing an Asian style forward contract with early exercise feature

Is there an analytic way to price or approximate a contract with payout $A_t - K$, where $A_t$ is the running average price of the underlying asset from $[0, t]$ and $K$ is (fixed) strike. If this ...
910 views

Is there a non-recursive way of calculating the exponential moving average?

I want to calculate the exponential moving average for many stocks in a large investable universe. To do this, I've seen the following formula: Because it references the previous day's exponential ...
108 views

In Python: ...
1k views

What is the difference between squared returns and variance?

I am trying to calculate 1-day ahead volatility forecasts using the exponentially weighted moving average, however I am unsure on how to read the formula provided within Risk-Metrics Technical ...
3k views

When people say calculate moving average for 30 days include weekends or not? [closed]

When someone wants to calculate a 30-day moving average of a commodity, do they mean 30 business days, or 30 calendar days? I'm looking for the general consensus, not "you could do it this way or ...
1k views

R RSI Calculation (TTR package)

I'm using the default RSI calculation in the TTR package as follows: result = RSI(data,14). The function also allows the user to specify the averaging method: result = RSI(data,14,"SMA"), result =...
896 views

Simple Moving Average Backtest: Cumulative Return too high

I apologize if this is way too basic a question, but I'm an absolute beginner to trading and am in the process of learning the fundamentals. Currently I'm trying to model a (10-day) SMA backtest in ...
18k views

Calculating Bollinger Band Correctly

My bollinger band comes out like the below, which doesn't seem right. Any idea what is wrong with my code for calculating upper and lower bollinber bands? I obtained my data from here ...
239 views

Volatility vs. Moving Average Distance

Currently I am designing a little market making bot for forex trading, that puts offers around the mid price. In the market I am trading it happens the order book becomes so thin that the mid price ...
155 views

What is an Efficient way to calculate Simple moving average without saving previous N period values?

I want to calculate the Simple Moving Average (SMA) for Stock Prices with for period 'N'. Normal Formula for 4 Period Moving Average is MA = (a + b + c + d) / 4 for new entry e we do as ...
104 views

Derivation (or proof) of commonly used formula showing relationship between time and smoothing factor in exponential smoothing

I am using simple exponential smoothing on historical market prices. There is a commonly held view (among market practitioners), that there is a simple relation between the period over which the data ...
2k views

How to optimize return in a moving average crossover algorithm

Moving average crossover strategy is a widely used strategy in algo trading. Is there a way to optimize return in a moving average crossover stratergy. I have used this site to backtest MA crossover ...
134 views

How do I automatically graph S&P PE ratio moving average VS DOW

Obviously this is a rookie question, I'm simply looking to plot the S&P PE ratio moving averages over different periods of time and plot them vs the DOW. Ideally I would love like something that ...
1k views

How to get the the final % return in backtesting?

I'm learning how to do backtesting in Python using Pandas. I'm learning how to use Moving Average Crossover. I've generated signals to buy or to sell already. But I'm not sure where to go from there? ...
163 views

Why the diff of signal is called positions and what does it mean in backtesting?

I'm trying to learn Backtesting 101. I found this example which is very simple but I do not quite understand some of the terms. I understand Moving Average algorithm which is to measure trends or to ...
1k views

Aren't Technical Indicators calculated on Adjusted Close Price?

I would assume that day to day movement in stock can be accurately compared with the Adjusted Close Price and not simply the Close Price, taking into account Stock Splits Dividends etc. http://www....
88 views

Moving Averages Crossover question

I'm reading on Investopedia that one should buy a stock if short term moving average is ABOVE the long term moving average, since this "indicates an upward trend". However, this is not intuitive to ...
102 views

compute technical indicators from candle data

i have a rookie question but can't find the answer anywhere so..what is the right way to compute a simple moving average when you have an array of (open,close,low,high) tuples ? From what i saw so ...
620 views

How to adapt a Moving Average period to market conditions?

I would like to know if there is some way to adapt the period of a moving average to market conditions like for instance the stop loss can be adapted to market conditions using the average true range. ...
150 views

How to weigh many factors using a SMA/EMA

I'm learning about the SMA/EMA technical analysis, as well as, indicators such as Bollinger Bands, Stochastic Oscillators, MACD, etc. How do you know which one to use and which to weigh more over ...
3k views

Unsmoothing of returns

The following problem arises in the context of private equity, which typically report "smoothed" returns (think of it as a moving average). As you can imagine, "smoothed" returns would have a much ...
2k views

How to fully replicate ADX + DI Indicators in Excel? [closed]

For black box testing, I was hoping that I could replicate the ADX + DI+ and DI- indicators that are provided in trading platforms such as ThinkOrSwim, ScottradeElite etc. However, I noticed that ...
372 views

Can you tell me what this RBloomberg formula means?

I've been asked to re-create a spreadsheet that used RBloomberg using a different data source. But I'm having trouble figuring out exactly what one of the spreadsheet's formulas does. Can anyone tell ...
239 views

Technical Indicators reference

I have been looking for a good reference where I can find how technical indicators of stock market analysis are calculated. I have a dataset (time series) which I want to extract these indicators to ...
373 views

Online algorithm for selecting smoothing parameter?

In Online Algorithms in High-frequency Trading the authors demonstrate online, exponentially-weighted algorithms for mean, variance, and linear regression. The authors estimate their smoothing ...
483 views

How to test the efficiency of Exponential Moving Averages as a trading startegy? [closed]

I would like to know how I can test the efficiency of Exponential Moving Averages when it comes to forex trading. Can i have any papers that point to the efficiency of this strategy? Thank you. :)
1k views

Trading a stock (or other asset) based on Bollinger Bands.

One way investors analyze stocks is on a technical basis. Looking at Bollinger Banks (20 day moving average +- 2 standard deviations) is one of the most popular technical tools. Some stocks trade ...
317 views

How to use volatility to assess the accuracy of a stock market model?

Background: For a dissertation I have a multi-agent stock market model that I am using to assess different mechanisms for producing particular dynamic regimes. A key point is assessing how closely it ...