A new approach of moving average method in time series analysis

Moving Average is one of widely known technical indicator used to predict the future data in time series analysis. During its' development, many variation and implementation have been made by researchers. One of its' widely used variation is Exponential Moving Average (EMA). Basically, EMA is an improvement of Weighted Moving Average (WMA) that gives a special weighting to more recent data than the older data, which could not be found in Simple Moving Average (SMA) method. This paper aims to introduce a new approach of moving average method in time series analysis. The approach will combine the calculation of weighting factor in WMA and EMA as the new weighting factor. To test the accuracy and robustness of the proposed method, it will be implemented on Jakarta Stock Exchange (JKSE) composite index data. The result of the proposed method shows a promising result in this preliminary work.