Geometric Moving Average (GMA): the 'n'th root product of 'n' numbers, For example,( Return1* Return2 *.* Return n)**(1/N). Value Line used and probably still uses a geometric MA to compute returns.
So for example:
10,100,100; GMA=(10*100**1000)**(1/3) =100.
2,4,8,16; (2*4*8*16)**(1/4) = 5.657
In AFL:
/*
Formula Derivation
C1 = Ref(C,-1);C2 = Ref(C,-2);C3 = Ref(C,-3);Cn = Ref(C,-n);
GMA = Nth root of:(C*C1*C2*C3*C4*...*C(n-1))
lnGMA = (1/N)(ln(C)+ln(C1)+ln(C2)+ln(C3)+...+ln(Cn-1)) =(1/N)*Sum(ln(C),N)
GMA = exp(lnGMA);
*/
/*
//Number examples
Period = Param("Period",1,1,100,1);
//Numbers: 10,100,1000; period = 3;
lnGMA = (1/period)*(ln(10)+ ln(100)+ln(1000));
//Plot(exp(lnGMA ),"GMA",1,5);
//Numbers: 2,4,8,16; period = 4;
lnGMA = (1/period)*(ln(2)+ ln(4)+ln(8)+ln(16));
Plot(exp(lnGMA ),"GMA",1,5);
*/
//In AFL language
Period = Param("Period",1,1,100,1);
lnGMA = (1/Period)*Sum(ln(C),Period);
Plot(exp(lnGMA),"GMA",1,5);
From: [email protected] [mailto:[email protected]] On Behalf
Of Howard B
Sent: Thursday, January 08, 2009 12:09 PM
To: [email protected]
Subject: Re: [amibroker] Geometric Moving Average (GMA)?
Hi Mav --
This is one definition of geometric moving average:
"A geometrical moving average gives the most recent observation the greatest
weight, and all previous observations weights decreasing in geometric
progression from the most recent back to the first."
That is also the definition of exponential moving average.
Do you have something else in mind?
Thanks,
Howard
On Thu, Jan 8, 2009 at 1:19 AM, MAVIRK <[email protected]> wrote:
HI All,
Any one has AFL code for Geometric Moving Average (GMA)?
Thanks,
MAV
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