How to calculate moving average excluding current data?
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How to calculate moving average to not include current data for the current period. For example, I'm trying to create the Donchian Channel and the formula is the 20 high or 20 low of the preceding date. If so, this should not include the current date. All the moving and tsmovavg includes the current date.
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dpb
il 27 Nov 2016
N=20; % number above/below midpoint
u=[ones(1,N) 0 ones(1,N)]/(2*N-1); % weighting
mAvg0=conv(data,u,'valid');
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Image Analyst
il 27 Nov 2016
It's just considering the N points to the right and left of the current point. The center point (i.e. the "current" point) has a weight of zero so it's not included in the sum.
dpb
il 28 Nov 2016
>> [x;[nan conv(x,[1 0 1]/2,'valid') nan]]
ans =
1 2 3 4 5 6 7 8 9 10
NaN 2 3 4 5 6 7 8 9 NaN
>>
should make it patently clear, one would think???
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