Moving Average Envelopes


The Moving Average Envelope functions compute a pair of data bands that envelope a moving average of the input data values.

Each data band is positioned a percentage-based magnitude away from the moving average line. The average line can be calculated using a simple moving average or an exponential moving average. Applications of the Moving Average Envelope functions include indication of overbought/oversold conditions and price trends for a security.

The mathematical expressions being calculated are as follows:

Upper = Moving Average * (1 + K)
Lower = Moving Average * (1 – K)

Where K is the indicated percentage-based factor.





A similar envelope can be generated by the Bollinger Bands functions, which uses standard deviations instead of a percentage-based factor.

1. Syntax

Upper Envelope:


Lower Envelope:


2. Input

The MOVAVGEVPUPPER and MOVAVGEVPLOWER functions require the following input:

  • d0 - Input data values - The set of data values for which the MOVAVGEVPUPPER and MOVAVGEVPLOWER formulas are calculated.

3. Parameters

The MOVAVGEVPUPPER and MOVAVGEVPLOWER functions require the following parameters.

  • s0 - Moving Average Type - The type of moving average to use in the calculation. Valid values are:
    • 0 : Simple Moving Average (default)
    • 1 : Exponential Moving Average
  • s1 - Period - The number of time periods to use in the calculation. Default value is 10.
  • s2 - Envelope factor - The factor used to shift the bands away from the simple moving average. Default value is 2.5.
  • Alignment (Optional) – Hierarchy placeholder to be used as the alignment axis.

4. Output

The MOVAVGEVPUPPER function generates the following output:

  • Upper Envelope - The Upper Envelope result set.

The MOVAVGEVPLOWER function generates the following output:

  • Lower Envelope - The Lower Envelope result set.

5. See also

Dundas Data Visualization, Inc.
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