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Questions tagged [moving-average]

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1answer
622 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. ...
2
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0answers
374 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 ...
1
vote
1answer
187 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 ...
1
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0answers
505 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 ...
0
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0answers
32 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 ...
0
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0answers
70 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 ...
0
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0answers
240 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 ...