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movavg

Moving average of a financial time series

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Syntax

ma = movavg(Data,type,windowSize)
ma = movavg(___,initialPoints)
ma = movavg(Data,type,weights)
ma = movavg(___,initialPoints)

Description

example

ma = movavg(Data,type,windowSize) computes the moving average (MA) of a financial time series.

example

ma = movavg(___,initialPoints) adds an optional argument for initialPoints.

example

ma = movavg(Data,type,weights) computes the moving average (MA) of a financial time series using a 'custom' type and weights.

example

ma = movavg(___,initialPoints) adds an optional argument for initialPoints.

Examples

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Open Live Script

Load the file SimulatedStock.mat and compute the moving average using simulated closing price data.

load SimulatedStock.mat
type = 'linear';
windowSize = 14;
ma = movavg(TMW_CLOSE,type,windowSize)
ma = 1000×1

  100.2500
  100.3433
  100.8700
  100.4916
   99.9937
   99.3603
   98.8769
   98.6364
   98.4348
   97.8491
      ⋮
Open Live Script

Load the file SimulatedStock.mat and compute the moving average using simulated closing price data.

load SimulatedStock.mat 
type = 'linear';
mashort_term=movavg(TMW_CLOSE,type,20) % Short-term moving average
mashort_term = 1000×1

  100.2500
  100.3423
  100.8574
  100.4943
  100.0198
   99.4230
   98.9728
   98.7509
   98.5688
   98.0554
      ⋮


malong_term=movavg(TMW_CLOSE,type,3) % Long-term moving average
malong_term = 1000×1

  100.2500
  100.3580
  101.0900
  100.4300
   99.3183
   97.8217
   97.0833
   97.1950
   97.4133
   96.1133
      ⋮

Plot the long-term and short-term moving averages.

plot(TMW_CLOSE(1:100))
hold on
plot(malong_term(1:100))
plot(mashort_term(1:100))
hold off
legend('Actual','Long-term','Short-term')

Figure contains an axes object. The axes object contains 3 objects of type line. These objects represent Actual, Long-term, Short-term.

Input Arguments

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Data for a financial series, specified as a column-oriented matrix, table, or timetable. Timetables and tables must contain variables with only a numeric type.

Data Types: double | table | timetable

Type of moving average to compute, specified as a character vector or string with an associated value.

Data Types: char | string

Number of observations of the input series to include in moving average, specified as a scalar positive integer. The observations include (windowSize - 1) previous data points and the current data point.

Note

The windowSize argument applies only to moving averages whose type is 'simple', 'square-root', 'linear', 'square', 'exponential', 'triangular', or 'modified'.

Data Types: double

Custom weights used to compute the moving average, specified as a vector.

Note

The length of weights (N) determines the size of the moving average window (windowSize). The weights argument applies only to a 'custom' type of moving average.

To compute moving average with custom weights, the weights (w) are first normalized such that they sum to one:

W(i) = w(i)/sum(w), for i = 1,2,...,N

The normalized weights (W) are then used to form the N-point weighted moving average (y) of the input Data (x):

y(t) = W(1)*x(t) + W(2)*x(t-1) + ... + W(N)*x(t-N)

The initial moving average values within the window size are then adjusted according to the method specified in the name-value pair argument initialPoints.

Data Types: double

(Optional) Indicates how the moving average is calculated at initial points (before there is enough data to fill the window), specified as a character vector or string using one of the following values:

  • 'shrink' - Initializes the moving average such that the initial points include only observed data

  • 'zero' - Initializes the initial points with 0

  • 'fill' - Fills initial points with NaNs

Note

The initialPoints argument applies to all type specifications except for the 'exponential' and 'modified' options.

Data Types: char | string

Output Arguments

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Moving average series, returned with the same number of rows (M) and the same type (matrix, table, or timetable) as the input Data.

References

[1] Achelis, S. B. Technical Analysis from A to Z. Second Edition. McGraw-Hill, 1995, pp. 184–192.

Version History

Introduced before R2006a

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See Also

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