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exponential moving average from MOVAVG not correct?
From: |
Tim Rueth |
Subject: |
exponential moving average from MOVAVG not correct? |
Date: |
Tue, 23 Feb 2010 11:33:07 -0800 |
Does anyone else
have experience using the MOVAVG function with exponential weighting
('e')? If I don't specify the 'e' weighting, then I correctly get a simple
moving average. But when I specify 'e' I get numbers that don't seem
correct. I'm curious if the exponential weighting used here is somehow
different from what is commonly assumed. For example, to calculate stock
price trends, one typically computes MACD (moving average convergence
divergence) by doing:
MACD = (12-day
exponential moving average) minus (26-day exponential moving
average)
So in Octave, I did
the following:
[Short_ma, Long_ma]
= movavg(data(:,Price),12,26,'e');
MACD = Short_ma -
Long_ma;
For a typical
stock, the MACD value is usually in the single-digits. But both my Short_ma and Long_ma track Price very closely, and hence MACD stays in the range of +/-10^-4, which
clearly is incorrect. Help
please?
- exponential moving average from MOVAVG not correct?,
Tim Rueth <=