Simple Moving Averge Strategy

2022년 9월 9일

Simple Vs. Exponential Moving Averages
Formula for Exponential Moving Average (EMA)
\begin{aligned} &\begin{aligned} EMA_{\text{Today}}=&\left(\text{Value}_{\text{Today}}\ast\left(\frac{\text{Smoothing}}{1+\text{Days}}\right)\right)\\ &+EMA_{\text{Yesterday}}\ast\left(1-\left(\frac{\text{Smoothing}}{1+\text{Days}}\right)\right)\end{aligned}\\ &\textbf{where:}\\ &EMA=\text{Exponential moving average} \end{aligned}
​

EMA
Today
​
=
​

(Value
Today
​
∗(
1+Days
Smoothing
​
))
+EMA
Yesterday
​
∗(1−(
1+Days
Smoothing
​
))
​

where:
EMA=Exponential moving average
​



While there are many possible choices for the smoothing factor, the most common choice is: