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Post From: Arnaud Legoux Moving Average

[2020-08-18 18:16:08]
[Go To First Post]
cmet - Posts: 651
Research on quantitative forecasting in food prices:

https://www.cjournal.cz/files/308.pdf

The formula cited in that paper is in the attached image. It is the same as post #3.

Below is a version written for Tradestation in 2010, shortly after the ALMA was introduced. No evidence of its accuracy but was written by a very respected coder on ForexFactory.

{Function; ALAverage}
inputs:
Price (numericseries),
Window(numericsimple),
Sigma(numericsimple),
Offset(numericsimple);

variables: m(0),s(0),Wtd(0), WtdSum(0),CumWt(0), k(0);

m = Floor(Offset * (Window - 1));
s = Window/Sigma;

WtdSum = 0;
CumWt = 0;

for k = 0 to Window - 1 begin
Wtd = ExpValue(-((k-m)*(k-m))/(2*s*s));
WtdSum = WtdSum + Wtd * Price[Window - 1 - k] ;
CumWt = CumWt + Wtd;
end ;

ALAverage = WtdSum / CumWt ;
Date Time Of Last Edit: 2020-08-18 18:27:24
imageALMA Formula.png / V - Attached On 2020-08-18 18:15:38 UTC - Size: 7.96 KB - 384 views