Volatility Adjusted EMA - by Crunchster
Applies recent volatility adjustment to the exponential moving average, where the smoothing factor is 2/(N + 1) - N being the lookback period or span
Volatility of recent 30 days returns is calculated using standard deviation with a thirty day lookback.
Increased smoothing compared to a standard EMA, which also adjusts to market conditions, as first described by Chande in 1991.
Volatility of recent 30 days returns is calculated using standard deviation with a thirty day lookback.
Increased smoothing compared to a standard EMA, which also adjusts to market conditions, as first described by Chande in 1991.
Catatan Rilis:
Minor code update
Join me on Mizar.com and trade my strategies