Description Usage Arguments Value References
Computes a zero-centered indicator about zero that is a moving average of the absolute residuals of a short-term forecast of the returns of a price series.
1 2 | ERM(x, nFcast = 10, nMAE = 10, nAvg = 200,
maType = "SMA")
|
nFcast |
lookback parameter for a short term forecast (default 10) |
nMAE |
lookback parameter for a mean absolute error term (default 10) |
nAvg |
lookback parameter for the moving average (default 200) |
maType |
string indicating moving average type (default "SMA") |
the Varadi Error-Adjusted Momentum series
http://cssanalytics.wordpress.com/2014/07/30/error-adjusted-momentum/
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