Moving Averages

in hive-193637 •  2 years ago  (edited)

Wall Street old-timers say that moving averages were brought to the financial markets
after World War II. Antiaircraft gunners used moving averages to site guns on enemy
planes and after the war, applied this method to moving prices. The two early experts
on moving averages were Richard Donchian and J. M. Hurst—neither apparently a gunner.
Donchian was a Merrill Lynch employee who developed trading methods based on moving
average crossovers. Hurst was an engineer who applied moving averages to stocks in his
classic book, The Profit Magic of Stock Transaction Timing. A moving average (MA)
reflects the average value of data in its time window.
A 5-day MA shows the average price for the past 5 days, a 20-day MA for the past
20 days, and so on. Connecting each day’s MA value gives you a moving average line.
P1 + P2 + … + PN N
Simple MA =
where P is the price being averaged N is the number of days in the
moving average (selected by the trader)
The level of a moving average reflects values that are being averaged
and depends on the width of the MA window. Suppose you want to calculate a 3-day simple

moving average of a stock. If it closes at 19, 21, and 20 on three consecutive days,
then a 3-day simple MA of closing prices is 20 (19 + 21 + 20, divided by 3). Suppose
that on the fourth day the stock closes at 22. It makes its 3-day MA rise to 21—the
average of the last three days (21 + 20 + 22), divided by 3. There are three main
types of moving averages: simple, exponential, and weighted. Simple MAs used to be
popular because they were easy to calculate in precomputer days, and both Donchian
and Hurst used them. Simple MAs, however, have a fatal flaw—they change twice in
response to each price.

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