N - 1 , N , . , 10- 10 , . , .
, , . , , . , , . : , ; , . . . 17.1 , .
. 17.1 1993 . -
618 4.
. , , . ( , ; .) , , - . , , . , , , , .
, , , , , , . LWMA (Linearly weighted moving avarage) EWMA (exponentially weighted moving avarage)*.
LWMA , 1, , , 2, .. . LWMA , . :
|
|
LWMA
t=i
t ( = 1,
= 2, ..), Pt t, .
: (1) Perry Kaufman. The New Commodity Trading Systems and Methods. John Wiley & Sons, -, 1987; (2) Techical Analysis of Stock and Commodities, . . 1995, . 66.
17. : 619
17.1.
10- | |||
80,50 | |||
81,00 | |||
81,90 | |||
81,40 | |||
83,10 | |||
82,60 | |||
82,20 | |||
83,10 | |||
84,40 | |||
85,20 | 82,54 | ||
84,60 | 82,95 | ||
83,90 | 83,24 | ||
84,40 | 83,49 | ||
85,20 | 83,87 | ||
86,10 | 84,17 | ||
85,40 | 84,45 | ||
84,10 | 84,64 | ||
83,50 | 84,68 | ||
83,90 | 84,63 | ||
83,10 | 84,42 | ||
82,50 | 84,21 | ||
81,90 | 84,01 | ||
81,20 | 83,69 | ||
81,60 | 83,33 | ||
82,20 | 82,94 | ||
82,80 | 82,68 | ||
83,40 | 82,61 | ||
83,80 | 82,64 | ||
83,90 | 82,64 | ||
83,50 | 82,68 |
, 10- LWMA 10- 1, 9- 2 .. , 10. 55 ( 1 10), LWMA.
620 4.
EWMA , , EWMA , (1 - ). 0 1. EWMA :
EWMA, = aPt + (1 - a) EWMA^.
, EWMA EWMA , , , , . :
(1 - )*,
k , ( / = 0 ).
0 1, . , = 0,1, 0,09, 0,081, 0,035 0,004.
, :
|
|
= 2/( + 1),
= (2-)/.
, , , 0,1, 19- . 40- , 0,04878.
, , -
17. : 621
17.1.