Login Page - Create Account

Technical Studies Reference


Cumulative Adjusted Value

This study calculates and displays a Cumulative Adjusted Value of the data specified by the Input Data Input.

Let \(X\) be a random variable denoting the Input Data Input, and let \(X_t\) be the value of the Input Data at Index \(t\). Let the Input Long Term Smoothing Length be denoted as \(n\). Then we denote the Adjusted Value for the given Inputs at Index \(t\) as \(AdjVal_t(X,n)\), and we compute it for \(t \geq 0\) using an Exponential Moving Average as follows.

\(AdjVal_t(X,n) = X_t - EMA_t(X,n)\)

Note: The internal calculations performed in the Exponential Moving Average calculation are used in the calculation of \(AdjVal_t(X,n)\). Consequently, there is no delay of \(n\) units either in this calculation or in the subsequent calculation of the Cumulative Adjusted Value.

We denote the Cumulative Adjusted Value for the given Inputs at Index \(t\) as \(AdjCumVal_t(X,n)\), and we compute it with the following recursion relation.

\(CumAdjVal_0(X,n) = AdjVal_0(X,n)\)

\(CumAdjVal_t(X,n) = CumAdjVal_{t - 1}(X,n) + AdjVal_t(X,n)\)

For some background as to why this study was developed, refer to Market Statistics Calculations Compared to Other Data Services.

Inputs

Spreadsheet

The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.

Open it through File >> Open Spreadsheet.

Cumulative_Adjusted_Value.363.scss


*Last modified Monday, 26th September, 2022.