[R-SIG-Finance] moving average

[Patrick Burns]

Asking if your code does what you think it does is
an excellent thing to do.

In this case I would try it out on something like:

A <- rnorm(30)
A[15] <- 100

And then see if the result is what I hoped.

Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Alexander Moreno wrote:

>Hi,
>
>If I want to make a 12 day exponentially weighted moving average using only
>past data on a time series A, will this do the trick?
>
>filter(A,exp(-c(1:12)/12)/sum(exp(-c(1:12)/12)),method="convolution",sides=1)
>
>i.e. does it include today in the calculation?  Or do I need to do this
>(which is what I think)?
>
>filter(A,c(0,exp(-c(1:12)/12)/sum(exp(-c(1:12)/12))),method="convolution",sides=1)
>
>I'm trying to play around with an MACD model and want to see the daily
>returns of days where the 12-day moving average < 26 day moving average and
>12-day > 26 day
>
>Thanks,
>Alex
>
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