Jurik Smooth Moving Average: Recursive Calculation and Parameters

Summary

This document describes a recursive moving average attributed to Mark Jurik, with two user-adjustable inputs: the calculation period and the applied price. It gives a sequence of equations in which the current smoothed value depends on a prior smoothed value and a correction term. That correction is built from intermediate values using the current applied price, prior intermediate states, and coefficients derived from the period.

The coefficients include a period-dependent alpha and its related squared and complementary forms. This recursive structure distinguishes the method from a simple rolling average, though the document does not compare its behavior with other moving averages or explain its responsiveness, lag, or intended use. It provides no sample calculation, chart, trading rule, or performance results. The equations are presented in translated form, and one coefficient name appears inconsistently spelled in the source description, so implementation details may warrant checking against an authoritative reference.

Key ideas

• The method accepts a calculation period and an applied price as adjustable inputs.
• The current value is calculated recursively from prior state and a correction term.
• Its smoothing coefficients are derived from the selected period.
• The document provides equations but no performance evidence or guidance for trading use.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.