Double Moving Averages
Double moving average is a modification to the simple moving average that includes an adjustment for the lag as well as for the trend.
1)
Compute a simple moving average
2)
Compute a double moving average (a simple moving average from a simple moving average)
3)
Add to the simple moving average the difference between the simple and double moving average
4)
Add the linear trend
Equations are:
S't = (Yt + Yt-1 + ... + Yt-N+1) / N
S''t = (S't + S't-1 + ... + S't-M+1) / M
at = S't + (S't - S''t)
bt = (2 / (N - 1)) * (S't - S''t)
Ft+p = at + p * bt
Where:
S't = Simple moving average
S''t = Double moving average
at = Smooted level
bt = Smooted trend
p = Number of periods forecasted (forecast horizon)
N and M are the number of periods of the moving averages