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movavg function lead and lag meaning

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Mate 2u
Mate 2u on 11 Feb 2011
Answered: Sonima on 23 Jul 2018
Hi, Could someone explaing to me what Lead and Lag represent please in the moving average. Usually when I deal with moving average it only consists of one variable which is the period (eg 20 day moving average)

Answers (3)

Oleg Komarov
Oleg Komarov on 11 Feb 2011

Looking at the code:

% compute general moving average (ie simple, linear, etc) 
% build weighting vectors 
i = 1:lag; 
wa(i) = (lag - i + 1).^alpha./sum([1:lag].^alpha); 
i = 1:lead; 
wb(i) = (lead - i + 1) .^alpha/sum([1:lead].^alpha); 
% build moving average vectors by filtering asset through weights 
a = filter(wa,1,asset); 
b = filter(wb,1,asset);

If you call:

[Short,Long]= movavg(A,20,20,1);

You get exaclty the same averages, I guess they tried to give emphasis to the fact that one is long run and the other is short run.

Anyway, the movavg implements the weighted moving average (linear and exponential):

Linear weights

Exponential weights

Oleg


Sean de Wolski
Sean de Wolski on 12 Apr 2011
When you're replacing the value of a point with the mean of it and the next point; you get lead.
When you replace the value of a point with the mean of it and the previous point you get lag.

Sonima
Sonima on 23 Jul 2018
Hi! If one assign both lag and lead to for instance 20, then Matlab will give the same result as when one set EMA20 is most of the charting software? AM I right?

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