Exponential moving average

Description

Exponential smoothing or exponential moving average is a rule of thumb technique for smoothing time series data using the exponential window function. Whereas in the simple moving average the past observations are weighted equally, exponential functions are used to assign exponentially decreasing weights over time.

Example

time window:
  emitting type: priceEMAAnalytics
  window listeners:
    - exponential moving average:
        attributes: [ ask, bid ]
        parameters:
          smoothing_factor: 0.00079968
  policy:
    type: slidingTime
    slide: 500
    window size: 2500

Output attributes

Event output attributes from the above example.

  • ask_EMA

  • bid_EMA

Postfix ID

Applied to attribute

  • EMA

Parameters

ParameterDescriptionType

smoothing_factor

Smoothing constant to be applied within the EMA calculation Use ( 2 / 1 - Time Periods) as the smoothing constant.

Double Default: 0.333

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