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Use Trading Sessions for Price-Based Moving Averages

Article Quant Q&A · Author: David
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Summary

The document answers whether a 30-day commodity moving average should include weekends by interpreting the period as a count of days with price observations. Under that convention, the average is calculated over trading days rather than calendar days, because it operates on available pricing information. Weekend dates without prices therefore do not add observations to the window.

The response gives a general principle rather than a detailed calculation or empirical comparison. It does not discuss markets that trade on weekends, different data frequencies, or cases where a calendar-time window is specifically intended. The practical choice should match the price series and the meaning assigned to the lookback period; this post’s answer addresses the usual price-observation interpretation of a moving average.

Key ideas

  • A price-based moving average uses observations where market prices are available.
  • A 30-day lookback is interpreted here as 30 trading days, not 30 calendar dates.
  • Dates without pricing information do not contribute observations under this convention.
  • The answer does not address markets that provide weekend prices or calendar-time windows.

Tags

CommoditiesTechnical indicatorsStatistics
Full text
# When people say calculate moving average for 30 days include weekends or not?


# When people say calculate moving average for 30 days include weekends or not?












When someone wants to calculate a 30-day moving average of a commodity, do they mean 30 business days, or 30 calendar days? I'm looking for the general consensus, not "you could do it this way or that way".

## Answer by CQM (score 6)

https://quant.stackexchange.com/a/2505

Trading days..................

Days where there is pricing information.

Any moving average is a moving average of pricing information. Not the times where there can be no pricing information.

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