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Trading Techniques | JUN 2001
Elastic Moving Averages by Christian P. Fries, Ph.D.
Elastic Moving Averages by Christian P. Fries, Ph.D. Approximating the average price paid per share can generate a very responsive moving average. What if the period of your average fluctuated with volume? You’d have an elastic volumeweighted moving average (eVWMA), a natural replacement for standard moving averages. It’s even more natural than on first thought, since it can also be regarded as an approximation to the average price paid per share. eVWMA differs from the usual average in that: 1. It does not refer to an underlying averaging time period (for example, 20 days, 38 days, 200 days). Instead, eVWMA uses share volume to define the period of the averaging. 2. It incorporates information about volume (and possibly time) in a natural and logical way. 3. It can be derived from, and seen as an approximation to, a statistical measure and thus has a solid mathematical justification.
by Christian P. Fries, Ph.D.
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