| Title: | Mathematics at DEC | 
| Moderator: | RUSURE::EDP | 
| Created: | Mon Feb 03 1986 | 
| Last Modified: | Fri Jun 06 1997 | 
| Last Successful Update: | Fri Jun 06 1997 | 
| Number of topics: | 2083 | 
| Total number of notes: | 14613 | 
    
    I have been told about the exponential average of  n  datas
    
    Something like 
    
    	EA(n) = a Y(t) + (1-a) EA(t-1)
    
    With EA : expon. aver. of the last n datas.
              Y(t) data value at time t
    	      Y(t-1) data value the time before (t-1)
    	      a = 2 / (n+1)
    
    Does somebody known the formula which gives EA(t) without EA(t-1) ?
    
    PAscal;
| T.R | Title | User | Personal Name | Date | Lines | 
|---|---|---|---|---|---|
| 1783.1 | FORTY2::PALKA | Tue Aug 24 1993 09:05 | 14 | ||
|     Something like.
    
                i=t
                __
                \           (t-i)
    EA(t) =     /    a (1-a)       Y(i)
                --
                i=0
    
    
    Note that EA depends on all the previous Y(t), not just the previous n.
    However the effect of the older ones is very small.
    
    Andrew
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| 1783.3 | <thanks> | EVOAI2::$TRICHET | $ Spawn/nowait dir /output=nl: | Tue Aug 24 1993 10:46 | 7 | 
|      
    Thanks for quick answer
    
    It is going to be used for financial purpose
    as MACD theory (Moving Average Convergence Divergence)
    
    Pascal 
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