Details of EMA or Exponential Moving Average by Nick Abram

I was looking through the documentation and couldn't figure out what the EMA calculation period is based on. Is it based on the resolution of the underlying asset that it is tied to? For example, if SPY is minute resolution, and we define an EMA("SPY"), is it then using 8-minute lags for the calculation?

Hi Nick,

I don't understand exactly where you take your “8-minute lag” from but in a nutshell, when you declare an EMA, you set whatever period and resolution that you want.

So you can easily do the infamous MTF (Multi Time-Frame).

For instance, you can subscribe to minute data on SPY but then have an EMA("SPY", 60, Resolution.Minute) and an EMA("SPY", 1, Resolution.Daily) in the same algo, thus doing EMA on hour and day timeframes.

Fred

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