ema ( seq n -- newseq )

Vocabulary

math.finance

Inputs

seq	a sequence
n	number of periods

Outputs

newseq

a sequence

Word description

Returns the Exponential Moving Average with the specified periodicity, calculated by:

•	A = 2.0 / (N + 1)
•	EMA[t] = (A * SEQ[t]) + ((1-A) * EMA[t-1])

Definition

USING: kernel math.finance.private math.statistics sequences ;

IN: math.finance

: ema ( seq n -- newseq )
    [ cut [ mean dup ] dip ] [ a ] bi [ weighted dup ] curry map
    nip swap prefix ;