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Miha Kralj
39 lines
1.3 KiB
Markdown
39 lines
1.3 KiB
Markdown
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# SMA: Simple Moving Average
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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.
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## Calculation
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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:
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$$
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SMA_p{(data)} = \frac{1}{p}\sum_{i=n-p+1}^{n} data_i
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$$
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When calculating the value of next $SMA_{p,next}$ while knowing all previous SMA values, SMA calculation can be reduced to:
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$$
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SMA_{p,next} = SMA_{p,prev}+\frac{1}{p}\left( data_{n+1}-data_{n+1-p}\right)
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$$
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## Implementation
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``` csharp
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SMA_Series mean = new(source: data, period: p, useNaN: false);
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```
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- `TSeries source` - List of value tuples (DateTime, double)
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- `int period` - Integer representing the period of SMA
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- `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)
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## Comparison & Validation
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Validation tests
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Performance tests
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## Visual analysis
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## References
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- https://www.tradingtechnologies.com/help/x-study/technical-indicator-definitions/simple-moving-average-sma/ |