Moving Average Myths by Jason S. Glazier
There is a myth that commonly used averaging and smoothing techniques require different times to calculate. The simple, step-weighted and exponentially smoothed moving averages are the most commonly used for technical analysis. These three moving averages dominate technical analysis methodology. Rarely do technical analysis publications or books mention any aspects of efficiency in calculating commonly used functions, and commercial technical analysis programs often overlook these algorithms as well. To test this, see if your commercial program takes significantly longer to calculate a 40-day step weighted moving average than an exponentially smoothed moving average. Because these averages are calculated so frequently, it is essential that efficiency is considered. I will present linear iterative algorithms in C code for all three commonly used moving averages.