Click here to Login








Geometric Moving Average Indicator

by Brian Brown, 3445 days ago
Share |


The Geometric moving average calculates the geometric mean of the previous N bars of a time series or trading indicator. The simple moving average uses the arithmetic mean, which means that it is calculated by adding the time series' value of the N previous bars and then dividing the result with the lookback period. The geometric mean on the other hand is calculated by multiplying the time series' N previous values (multiplication is used instead of the addition) and then taking the N'th root product of the last result.

The Geometric mean and thus the Geometric moving average are used when working with returns and percentages. The main advantage of using the geometric mean when working with returns is that it will allow us to compare different investments and strategies' return without knowing the initial amount invested.

Here is how to apply the geometric moving average to the one-bar return of the close price of a stock or security:
a = GMaverage(perf(close, 1), 20, 1);

The function automatically divides by 100 and adds one to each value before performing the calculation. The returned value is expressed in percentage.
The function first argument allows entering a time series or a series of returns you want to use to calculate the geometric mean.
The second argument lets you enter the lookback period or the number of past bars to use.
The third argument is used to filter the time series returns. This means that the geometric mean computation is performed only on bars where the filter value is TRUE (value higher than zero).

Example:
GMaverage(perf(close, 1), 20, IsNoNaN(perf(close, 1)))

The above indicator calculates the geometric moving average of the one-bar return of a stock share price on bars where the perf(close, 1) indicator returns a non NaN (Not a number) value.




You have to log in to bookmark this object
What is this?
Additional Information




Type: Trading Indicator

Object ID: 569


Country:
All

Market: All

Style:
Technical Analysis

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects

Empty

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

How to create a trading indicator that uses stock news

How to create your own technical analysis indicators

Create a stock index or a trading indicator using the composite tools

Create a trading strategy using the money management tool - Part 2

Create a trading strategy using the money management tool - Part 1

How to create a market timing system - Part 3

Correlation of market indicators

How to create a market timing system

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright 2019 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.