Exponential moving average
An exponential moving average (EMA), sometimes also called an exponentially weighted moving average (EWMA), applies weighting factors which decrease exponentially. The weighting for each older data point decreases exponentially, giving much more importance to recent observations while still not discarding older observations entirely. The graph below shows an example of the weight decrease.
The degree of weighing decrease is expressed as a constant smoothing factor α, a number between 0 and 1. α may be expressed as a percentage, so a smoothing factor of 10% is equivalent to α=0.1. Alternatively, α may be expressed in terms of N time periods, where . For example, N=19 is equivalent to α=0.1.
Notes and references
- http://en.wikipedia.org/wiki/Moving_average
See also
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