Talk:Moving average/Archives/2016

Definition Creep
The article is Moving average, but also covers cumulative average, which is not a moving average, and weighted moving average which is really a FIR filter. I am sure you can find some references to a cumulative average and FIR filter being classified as a moving average, but this is, in my opinion, not very common, at least in the engineering world. I would suggest discussion of these filters be moved to a section called "similar styles of filters", and the sections should be shortened as they are covered in detail in other articles. Skeptonomicon (talk) 15:11, 20 August 2014 (UTC)
 * The FIR filter called "weighted moving average" is extremely common in the world of technical analysis of financial instruments. If I recall correctly, this article had a heavy technical analysis slant in early versions. Being part of both worlds, I added a few engineering words about FIR filters and such a while back. If anything the definition creep has gone toward engineering. Cumulative average, on the other hand, isn't as common although still employed in some technical analysis indicators. ~Amatulić (talk) 16:35, 20 August 2014 (UTC)
 * My assertion about being uncommon was not about the filters (which are very common), but rather about them being considered under the category "moving average" (which is almost unique to this article).Skeptonomicon (talk) 17:48, 27 August 2014 (UTC)
 * Moving average filter is defined in the summary as an FIR filter, but neither the exponential or cumulative averages are FIR filters. If these kinds of filters are really called "Moving Average" filters in some field of study, then the definition in the summary needs to be fixed. I don't see how a cumulative average could be considered a moving average at all.142.255.63.247 (talk) 01:48, 2 January 2016 (UTC)

Error?
I think that there is a small error in the SMA formula. When calculating successive values, the oldest point to be removed is defined above as P M-(n-1)/N. However the second formula subtracts P M-n/N. I think this should be P M-(n-1)/N. I have changed the article - please change back if I'm wrong... 193.61.119.201 (talk) 22:46, 30 May 2016 (UTC)


 * The original version was correct, so I have un-done your change.
 * The two formulas are different ways of calculating the same thing.
 * The first formula is just the average of n items from P[0] to P[n-1].
 * The second formula is the previous period average plus the new value/n. Therefore the oldest value (now P[n]/n) must drop off, so it is subtracted. ~Amatulić (talk) 19:21, 31 May 2016 (UTC)

Financial data analysis
Most of the article is written in the context of applying moving averages to financial data. I understand that they are used extensively to identify trends in the stock market but I don't see why it's necessary to keep using terms like "days". Also, even though the first sentence of the introduction identifies the moving average as a "type of finite impulse response filter", no filter-like properties are described in the article (e.g. a graph showing the frequency responses for different window sizes). I know that readers coming from a physics or engineering-related field will be much more interested in what the moving average fundamentally does to a data series and what the result tells you. However, I would have guessed that even readers coming from a financial background should have some interest in the fundamentals of how a moving average works? Waofy (talk) 14:49, 11 January 2011 (UTC)


 * I was thinking about the same point. The article is not very easy to understand, even if it is written in a better way, the subject itself is not easy. Specially for people who dont have a background in mathematics. Having all the data related to finance only makes it harder to grasp the concepts. — Preceding unsigned comment added by 191.113.101.153 (talk) 06:19, 11 June 2015 (UTC)

Wikipedia in my opinion is not for beginners,rather it is intended for those who have some levels of background knowledge to get quick and in-depth enough glimpse into a specific area. Simpleness and professionalism, well that's a trade-off we have to choose.JiapengZhang (talk) 02:40, 16 July 2016 (UTC)

Cumulative average, modified moving average and exponential moving average
The cumulative average, modified moving average and exponential moving average are all equivalent for the case of α = 1 / N.

Cumulative average,

$$CA_{i+1} = {{x_{i+1} + i CA_i} \over {i+1}}$$,

can be rewritten with the index $$i+1 = N$$ and $$i = N - 1$$:

$$CA_{N} = {{x_{N} + (N-1) CA_{N-1}} \over {N}}$$

In that case, cumulative average becomes equivalent to modified moving average,

$$\text{MMA}_{N} = {(N-1) \text{MMA}_{N-1} + \text{price} \over{N}}$$


 * This is incorrect. In CA, "N" is not fixed; it changes for each item in the series (as i goes from 1 to t). In MMA, "N" is a fixed number, the window size. So, a MMA is a EWMA, but a CA is not. Jhibschman (talk) 16:03, 11 April 2012 (UTC)

Yet, modified moving average is equivalent to exponential moving average for the case stated above:

$$S_{t} = {\alpha Y_{t-1} + (1-\alpha) S_{t-1}}\, \text{ for } \alpha = 1 / N $$

$$\therefore S_{N} = {Y_{N-1} + (N-1)S_{N-1} \over{N}}\, \text{ with } N = t $$

If the yesterday's MMA is required for today's MMA, how do you calculate the first MMA? Do you put a 0 for the value on the first one? Bunq (talk) 21:12, 21 December 2016 (UTC)