Volatility Adjusted EMA - by Crunchster

4 thg 3, 2024

Applies recent volatility adjustment to the exponential moving average, where the smoothing factor is 2/(N + 1) - N being the lookback period or span

Volatility of recent 30 days returns is calculated using standard deviation with a thirty day lookback.

Increased smoothing compared to a standard EMA, which also adjusts to market conditions, as first described by Chande in 1991.

5 thg 3, 2024

Phát hành các Ghi chú

Minor code update