[R] Re: [R-sig-finance] Question about Exponential Weighted Moving Average (EWMA) in rmetrics.
wuertz at itp.phys.ethz.ch
Sun Nov 21 20:33:28 CET 2004
With the next release of Rmetrics the help page will extended in the
a numeric value between zero and one giving the decay length
of the exponential moving average. If an integer value greater
than one is given, lambda is used as a lag of "n" periods to
calculate the decay parameter.
Please note that you will find much more (still undocumented) indicators
example file xmpTradingIndicators.R. These include.
If you have written functions for further trading indicators, please let
me know, so
I can add them to Rmetrics.
German G. Creamer wrote:
>Please disregard the previous message. I realized that in the emaTA
>a lambda greater than one is used as a lag of n periods to calculate the
>decay parameter. A lambda less than one is used directly as the decay
>So, the functions are consistent.
>R-sig-finance at stat.math.ethz.ch mailing list
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