Example of Moving Average and Aggregation

The workflow analyzes volatility and trending behavior of the US dollar rates. In particular, the exchange rate of the US dollar to Swiss Franc (SWISFUS) is explored.

Moving aggregation node is used to compute the rolling volatility with the window length set to 5, which corresponds to the duration of the business week (no trades on the weekends and holidays).

For the trend analysis cumulative mean and exponential moving averages are computed via Moving Aggregation and Moving Average nodes, respectively.

External resources

• The Moving Average and Moving Aggregation Nodes