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Determination of the Best Simple Moving Average By Stochastic Processes

Bu çalışmada en gözde teknik analiz indikatörlerinden birisi incelenmiş ve veriye en iyi uyan basit hareketli ortalama belirlenmeye çalışılmıştır. Burada, ortalamanın zamana bağlı olduğu genel bir ortalamaya dönen stokastik süreçten faydalanılmıştır. Veri basit hareketli ortalamadan arındırıldıktan sonra kalan terimlerin normal dağılımına odaklanan bir algoritma sunulmuştur. En iyi hareketli ortalamayı belirleyen algoritmamızın çalıştığı bir örnek verilmiştir.

Determination of the Best Simple Moving Average By Stochastic Processes

In this study, we consider one of the most popular technical indicators and try to determine the best fittingsimple moving average to a given data. Here we utilize from a general mean reverting stochastic processwhere the mean is time dependent. We propose an identification algorithm which mainly concentrateson the normality of the residual terms after the data is demeaned from simple moving average and also provideevidence that our algorithm works quite well for determination of the “best” simple moving average.

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