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:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Howard
B
Sent: Thursday, January 08, 2009 12:09 PM
To: amibroker@xxxxxxxxxxxxxxx
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 <mvirk67@xxxxxxxxx> wrote:
Any
one has AFL code for Geometric Moving Average (GMA)?
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