Where are the ewma defined ?

[Camille92]

Hello Michael,

I want to work on a new strategy for position management but I don't understand where / how you define the length of the ewma.

Is this just here: https://github.com/michaelgrosner/tribeca/blob/master/src/service/main.ts#L118 And should I assume 0.095 = 200mn and 2 * 0.095 = 100mn?

Thank you very much for the info,

Camille

[michaelgrosner]

Those values are the alpha values as defined in this equation: https://en.wikipedia.org/wiki/Exponential_smoothing#Basic_exponential_smoothing sampled at 1min intervals

[Camille92]

Hello,

Thank you for the info. However there is something I don't understand. 0.095 should give an EWMA of 20 and not 200. How do you manage to do that?

For ewma 200 minutes it should be something like 0.00995024

[ctubio]

i hate math but currently the hardcoded time period for EWMA is 20.0526