The exponential moving average of a time-series of data is calculated:

emai = a * xi + (1 - a) * emai-1

Where emai-1 is the value of the exponential moving average at period i-1, and xi is the value of the input time-series at period i.

The weight a is typically 2/(n+1) where n is the approximate number of periods one would use in a simple moving average.

So, if you wanted an exponential moving average which approximated a 10-day simple moving average, a would be equal to 2/(10+1) or about 0.1818.


emai = 0.1818 * xi + (1 - 0.1818) * emai-1

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