R Programming By Example

Calculating simple moving averages inefficiently

The algorithm we will work with for the rest of the chapter is called simple moving average (SMA). It's a very well-known tool for doing technical analysis of time-series, specially for financial markets and trading. The idea behind SMA is that you will compute an average at each point in time by looking back at a predefined number periods. For example, let's say you're looking at a minute-by-minute time-series, and you will compute an SMA(30). This means that at each observation in your time-series, you will take the observations that correspond to the previous 30 minutes from starting at a specific observation (30 observations back), and will save the average for those 30 observations as ...