IKTrading (version 1.0)

ERM: Varadi's Error-Adjusted Momentum

Description

Computes a zero-centered indicator about zero that is a moving average of the absolute residuals of a short-term forecast of the returns of a price series.

Usage

ERM(x, nFcast = 10, nMAE = 10, nAvg = 200,
    maType = "SMA")

Arguments

nFcast

lookback parameter for a short term forecast (default 10)

nMAE

lookback parameter for a mean absolute error term (default 10)

nAvg

lookback parameter for the moving average (default 200)

maType

string indicating moving average type (default "SMA")

Value

the Varadi Error-Adjusted Momentum series

References

http://cssanalytics.wordpress.com/2014/07/30/error-adjusted-momentum/