QuanTAlib/docs/SMA.md

SMA: Simple Moving Average

SMA is one of the most basic trend-following indicators used in Technical Analysis. It is calculated as the unweighted mean of the previous p (period) data-points.

Calculation

SMA is a rolling calculation looking backwards from the position {n} and is denoted as {SMA}_{p}{(data)} where p represents the period and data represents the list of data points:

SMA_p{(data)} = \frac{1}{p}\sum_{i=n-p+1}^{n} data_i

When calculating the value of next SMA_{p,next} while knowing all previous SMA values, SMA calculation can be reduced to:

SMA_{p,next} = SMA_{p,prev}+\frac{1}{p}\left( data_{n+1}-data_{n+1-p}\right)

Implementation

SMA_Series mean = new(source: data, period: p, useNaN: false);

• TSeries source - List of value tuples (DateTime, double)
• int period - Integer representing the period of SMA
• bool useNaN - if true, initial values from 1 to period-1 will be replaced with NaN. If false, the initial calculation will return values for SMA(length) instead of SMA(period)

Comparison & Validation

Validation tests Performance tests

Visual analysis

References

• https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/simple-moving-average-sma/