Stocks & Commodities V. 23:2 (22-27): Sidebar: MOMA and Excel by Stephan Bisse

Stocks & Commodities V. 23:2 (22-27): Sidebar: MOMA and Excel by Stephan Bisse
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Stocks & Commodities V. 23:2 (22-27): Sidebar: MOMA and Excel by Stephan Bisse

Simple moving averages are great tools for filtering out noise from time series, but all they can do is show where a time series has been. The only way that a moving average can point the way to market direction is if additional information a leading indicator for that time series is included in the calculation. One way of doing this is adjusting each datapoint in the lookback period by the absolute move that preceded each datapoint as a percentage of the sum of all the absolute moves in the lookback period. If the premise that large moves in a given direction are harbingers of a new trend in the same direction is correct, then the move-adjusted moving average (MOMA) will be a superior indicator of future market direction when compared to a simple moving average.




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