Financial Toolbox™

movavg - Leading and lagging moving averages chart

Syntax

movavg(Asset, Lead, Lag, Alpha)
[Short, Long] = movavg(Asset, Lead, Lag, Alpha)

Arguments

Description

movavg(Asset, Lead, lag, Alpha) plots leading and lagging moving averages.

[Short, Long] = movavg(Asset, Lead, lag, Alpha) returns the leading Short and lagging Long moving average data without plotting it.

Notes   Moving averages smooth data via a sliding window to engender a better view of trends. Starting at the first element, the function slides along the input vector (Asset), capturing all data within the size of the window. The first window - 1 elements contain invalid information because there is insufficient data to compute an average until the Nth element is reached, where N = the size of the window. The simple moving average (Alpha = 0) retains the window - 1 invalid points of data in its computation, while the exponential moving average (Alpha = e) removes them. For a window of size n=Lead or n=Lag the data points Asset(i-n+1:i) (provided Asset is a vector) are used to compute the i-th element of the moving average data vector. The size of the Short and Long output matrices depends upon the type of moving average you are computing, as determined by the Alpha input argument. For all forms of moving average, except exponential, the size of the output matrics is number of observations (NUMOBS) by number of assets (NUMASSETS). For the exponential moving average only, the size of the Short and Long output matrices is NUMOBS - (N - 1) by NUMASSETS.

Examples

If asset A is a vector of stock price data from 01/01/2006 to 02/01/2006

>> A(:,2)

ans =

    8.6500
    9.0000
    8.8500
    9.3500
    9.5000
    9.3500
    9.2500
    9.7000
    9.9500
   10.5000
   10.1000
    9.9000
   10.0000
    9.9000
    9.6000
    9.7000
    9.8000
    9.7000
    9.9500
   10.1500
    9.8500
    9.9000
   10.2000
   10.0000
    9.9500
    9.8500
    9.9500
   10.0000
   10.0000
   10.5400
   10.5900
   11.1900
   11.0400
   11.0900
   10.7400
   10.3500
   10.2500
   10.4500
   10.7400
   10.5900
   10.3000
   10.0500
    9.8500
    9.9000
    9.9000
   10.3000
   10.4500
   10.7400
   10.9400
   10.6900
   10.9400
   10.7900
   10.2000
   11.4900
   11.9400
   11.9400
   12.4800
   13.1800
   12.9800
   12.9800
   13.6800
   13.4800
   13.9300
   14.9200
   13.9300
   14.4200
   14.0300
   14.9700
   15.0700
   15.0200
   15.0700
   14.4200
   13.7800
   14.2800
   14.8700
   15.5700
   15.5200
   15.5200
   15.5200
   15.5200
   15.7200
   15.8200
   15.9700
   15.2700
   14.9500
   14.8000
   15.1500
   14.5000
   15.0500
   14.5500
   14.6000
   14.5500
   17.5500
   16.7000
   16.8000
   17.9500
   17.3000
   17.6000
   17.5500
   16.5000
   15.8500
   16.3000

then the moving average is

[Short,Long]= movavg(A(:,2),3,20,1);
movavg(A(:,2),3,20,1);
ylabel('Price')
legend('Asset Price','Lagging Long','Leading Short')

this plots linear three-sample leading and 20-sample lagging moving averages

See Also

bolling, candle, dateaxis, highlow, pointfig

months

mrdivide