MA: Simple Moving Average

In NMOF: Numerical Methods and Optimization in Finance

Description

The function computes a moving average of a vector.

Usage

MA(y, order, pad = NULL)

Arguments

y	a numeric vector
order	An integer. The order of the moving average. The function is defined such that order one returns y (see Examples).
pad	Defaults to NULL. If not NULL, all elements of the returned moving average with position smaller than order are replaced by the value of pad. Sensible values may be NA or 0.

Value

Returns a vector of length length(y).

Author(s)

Enrico Schumann

References

Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626

Examples

MA(1:10, 3)
MA(1:10, 3, pad = NA)

y <- seq(1, 4, by = 0.3)
z <- MA(y, 1)
all(y == z)      ### (typically) FALSE
all.equal(y, z)  ### should be TRUE

## 'Relative strength index'
rsi <- function(y, t) {
    y <- diff(y)
    ups   <- y + abs(y)
    downs <- y - abs(y)
    RS <- -MA(ups, t) / MA(downs, t)
    RS/(1 + RS)
}
x <- cumprod(c(100, 1 + rnorm(100, sd = 0.01)))
par(mfrow = c(2,1))
plot(x, type = "l")
plot(rsi(x, 14), ylim = c(0,1), type = "l")

Example output

 [1] 0.3333333 1.0000000 2.0000000 3.0000000 4.0000000 5.0000000 6.0000000
 [8] 7.0000000 8.0000000 9.0000000
 [1] NA NA  2  3  4  5  6  7  8  9
[1] FALSE
[1] TRUE

NMOF documentation built on May 2, 2019, 6:39 p.m.