Exponential moving average (EMA), or exponentially weighted moving average (EWMA), applies a damping factor, alpha, that exponentially decreases the weights of older values. This technique gives much more weight to recent observations, while retaining older observations.
With MAvgType ('E'), the MovingAverage function uses this procedure:
- Compute the arithmetic average of the first n rows.
The value n is specified by the StartRows syntax element.
- For each subsequent row, compute the new exponential moving average value with this formula:
EMAM = alpha * V + (1 - alpha) * EMAM-1
The value alpha is specified by the Alpha syntax element. V is the new value.