ewmMean

ewmMean(X, [com], [span], [halfLife], [alpha], [minPeriods=0], [adjust=true], [ignoreNA=false])

Calculate exponentially weighted moving average.

Exactly one of the parameters com, span, halfLife and alpha must be specified.

X is a numeric vector.

com (optional) is a non-negative floating number and specifies decay in terms of center of mass. alpha=1/(1+com) where alpha is the decay factor.

span (optional) is a positive floating number larger than 1 and specifies decay in terms of span. alpha=2/(span+1).

halfLife (optional) is a positive floating number and specifies decay in terms of half-life. alpha=1-exp(log(0.5)/halfLife).

alpha (optional) is a floating number between 0 and 1 and directly specifies decay.

minPeriods (optional) is an integer indicating the minimum number of observations in window required to have a value (otherwise result is NULL). The default value is 0.

ignoreNA (optional) is a Boolean value indicating whether to ignore NULL values when calculating weights. The default value is false.

Take [x₀, NULL, x₂] for example,

• If ignoreNA = true,

  • adjust = false, the weights of x₀ and x₂ are 1-α and α.

  • adjust = true, the weights of x₀ and x₂ are 1-α and 1.

• If ignoreNA = false,

  • adjust = false, the weights of x₀ and x₂ are (1-α)² and α.

  • adjust = true, the weights of x₀ and x₂ are (1-α)² and 1.

a=[0,1,2,int(),4]
ewmMean(X=a,com=0.5);
// output
[0,0.75,1.615385,1.615385,3.670213]

ewmMean(X=a,com=0.5,ignoreNA=true);
// output
[0,0.75,1.615385,1.615385,3.225]

n = 20
colNames = `time`sym`qty`price
colTypes = [TIME,SYMBOL,INT,DOUBLE]
t1 = table(n:0, colNames, colTypes)
insert into t1 values(09:30:00.001,`AAPL,100,56.5)
insert into t1 values(09:30:00.001,`AAPL,200,30.5)
insert into t1 values(09:30:00.001,`DELL,150,35.5)
insert into t1 values(09:30:00.001,`DELL,170,60.5)
insert into t1 values(09:30:00.001,`DELL,130,40.5)
b=[2,4,3,6,5]
ewmMean(X=t1,com=0.5);