Weighted EMA

[myalgomate]

Hi Dave,

hope you ar doing well.

can we add Weighted EMA to our library ..?

Thanks

[DaveSkender]

Already have it for you: WMA

[DaveSkender]

Oh wait, you said EMA, that’s potentially different.

[DaveSkender]

If it’s this EWMA, looks like a good one to add to the backlog. Looks like a regular EMA, but with a custom weighting factor.

[DaveSkender]

for EMA alpha = 2/(n+1) where here alpha is user specified. If you think about, it’s the exact same formula. If you pre-calculate n = 2/alpha - 1, it’d work with current EMA method.

[DaveSkender]

this might be a simple alt API to the same underlying calculation

[myalgomate]

Yes got your point, looks fine.