Monday, April 11, 2011

The end point Moving Average

The end point Moving Average
The end point Moving Average was introduced in October 1995 issue of Technical Analysis of Stock and Commodities in the article "tipping point Moving Average" by Patrick E. Lafferty. The exact formula for the endpoint moving average is as follows:
(14 * Sum (Cum (1) * C, 14) - Sum (Cum (1), 14) * Sum (C, 14)) / (14 * Sum (Pwr (Cum (1), 2), 14) - Pwr (Sum (Cum (1), 14), 2)) * Cum (1) + (Mov (C, 14, S) - Mov (Cum (1), 14 C) * (14 * Sum (Cum (1) * C, 14) - Sum (Cum (1), 14) * Sum (C, 14)) / (14 * Sum (Pwr (Cum (1), 2), 14) - Pwr (Sum (Cum (1), 14), 2)))
The above formula plots the last value of a linear regression line from 14 periods. Weather Forecast series takes this value and the slope of the regression line to predict the next day and then plots this forecasted price as today's value.

*** Please note the above formula is using 14 regression periods. If you want to use different time periods have to change all instances of the number 14 to the desired number of time periods.

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