Stocks & Commodities V. 39:10 (24–27): Linear Regression Of Price And Time Part 2 by Mike B. Siroky, MD

Linear Regression Of Price And Time Part 2: The Regression Adaptive Moving Average (RAMA) by Mike B. Siroky, MD

Here’s a novel approach to the problem of incorporating changing market volatility into a moving average.

A moving average has two important characteristics: 1) it smooths the noise in the data, and 2) it lags behind the most recent price action. The longer the time window of the moving average, the more lag is built in. Exponential moving averages give more weight to recent prices and thus reduce lag ...