Volume-weighted Exponential Moving Average

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While I was working on a smoothing function, I came across the EMA (exponential moving average) which basically applies exponentially-decreasing weights to older observations. This is commonly used in finance, and can offer some protection against lags in trend movements.

As I was looking to combine this moving average with a volume-weighted version, or simply a weighted moving average, I ran across this Volume-weighted Exponential Moving Average stuff from Peter Ponzo. I gave it a try in R and here’s the code.

 

VEMA 

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