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Adaptive Frequency Weighted Moving Average Resource Links

October 31, 2012

Here is a good link to summarize how to calculate various moving averages:

http://www.metastock.com/Customer/Resources/TAAZ/?c=3&p=74

Here is an interesting post showing a comparison of performance of different moving average variants across a number of markets by moving average length. It is worth noting that recency-weighting (wma) tends to perform better on average than the less responsive but smoothed triangular wma. Note that the weighted moving average and triangular moving average are not highly correlated in terms of performance across lookbacks which demonstrates their complementary nature for an adaptive framework:

http://etfhq.com/blog/2010/10/19/weighted-moving-averages-tests/

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