Logarithmic Moving Average

2020년 4월 19일

Logarithmically weighted moving average.

Here is how weight is distributed in LMA and RMA (exponential moving average)


As you know, logarithm of 1 is 0... This means the last bar in specified period will be ignored, and the log curve above applies to LMA of 9 bars.
So one bar should be added to the length when calculating the weight.

Result is faster than simple moving average, but a bit slower than linearly weighted moving average.