Welles Wilder's Moving Average

Welles Wilder's Moving Average WWMA

Comes with formula, calculation steps and VBA code

The Welles Wilder's moving average, WWMA is computed as follows.

WWMA_t=[Price_t + WWMA_t-1 x (n-1)] / n

WWMA_t=¹/_n x Price_t + (1-¹/_n) x WWMA_t-1

, where n is specified by the user.

It becomes apparent that the Welles Wilder's moving average is an approximation of the exponential moving average, which is shown below as

EMA_t= α x Price_t+(1-α) x EMA_t-1

, where α=2/(n+1)

Click here to read more about the exponential moving average.

VBA Code

Method A uses functions, while Method B uses sub procedures to calculate CMF. Method B is faster and more flexible.

Method A

'Paste this code into your ThisWorkBook code window in VBA. Right Click This WorkBook in Project Explorer and click View Code.

Private Sub Workbook_Open()

AddUDF

End Sub

'The rest belong to any module

Sub AddUDF()

'Tells Excel to includes these in list of functions, add descriptions to them and create a new category called Technical Indicators.

Application.MacroOptions macro:="WWMA", _

Description:="Returns Welles Wilder's Moving Average" & Chr(10) & Chr(10) & _

"Select last period's EMA or last period's price if current period is the second observation." & Chr(10) & Chr(10) & _

"Followed by current price and n.", _

Category:="Technical Indicators"

Public Function WWMA(WWMAYesterday, price, n)

WWMA = (price + (n - 1) * WWMAYesterday) / n

End Function

Once you are done with the above, you can compute the moving average by typing into any cell "=WWMA([Last Period WWMA],[Current Price],[n])". Enter last period price as last period WWMA if you are computing the first WWMA of your dataset.

Method B

To run Method B, you have to copy the Runthis sub of Method B from the page on Accumulation/Distribution Line into your module. You also must run WWMA from the Runthis sub.

'Copy the following line into the Runthis sub

'Just before the line End Sub

'Disable all other macros that Runthis will call e.g. CLV, ADL, by

'marking them out as comments with single quotes

WWMA_1 close1, output, n

'Followed by the following new sub

Sub WWMA_1(close1 As Range, output As Range, n As Long)

output(0, 1).Value = "WWMA"

close0 = close1(1, 1).Address(False, False)

close1a = close1(2, 1).Address(False, False)

output1 = output(1, 1).Address(False, False)

output(2, 1).Value = "=(" & close1a & "+(" & n & "-1)*" & output1 & ")/" & n

output(2, 1).Copy output

output(1, 1).Clear

output(2, 1).Value = "=(" & close1a & "+(" & n & "-1)*" & close0 & ")/" & n

End Sub

Other References

http://fxtrade.oanda.com/learn/graphs/indicators/adx.shtml#atr

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