Sine-Weighted Moving Average: A Sine-Based Price Smoothing Method
Summary
The document defines a sine-weighted moving average that smooths an applied price over a configurable period. Each price in the lookback window receives a weight based on a sine function: weights rise across the window toward the most recent observation, and the weighted price sum is divided by the total weight. This normalization keeps the output on the scale of the input price series.
The method is presented as an indicator calculation, with period and applied price as its two parameters. The document supplies no comparison with a simple or other weighted moving average, no trading rules, and no evidence that the resulting series improves forecasts or returns. As with other moving averages, the output depends on the lookback length and price input, and smoothing can lag changes in the underlying series. Any trading use would require independent testing and interpretation guidance beyond the calculation given here.
Key ideas
- The indicator calculates a moving average using sine-based weights across a selected period.
- It divides the weighted sum of prices by the sum of the weights.
- The calculation period and applied price are configurable.
- The document provides no performance comparison or trading strategy, so predictive value is not established.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.