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Tuesday, June 30, 2009

Weighted Moving Average

Weighted Moving Average WMA
Comes with formula, calculation steps and VBA code

The weighted moving average is calculated by giving each lagging price a smaller weight. The weight decreases at a constant rate from n to 0.

WMA = [n x Pricet + (n-1) x Pricet-1 + … + 2 x Pricet-n+2 + Pricet-n+1] / (n + (n-1) + …+ 2 + 1)

The divisor (n + (n-1) + …+ 2 + 1) can be calculated using the formula [n x (n+1)] / 2.

VBA Code
Two seperate methods are presented below.

Method A
To compute the weighted moving average of a series, enter into any cell "=WMA([n periods of your series])" after you have pasted the code below. The AddUDF sub routine adds your functions to a custom category called "Technical Indicators".

Sub AddUDF()
Application.MacroOptions macro:="WMA", _
Description:="Returns the Weighted Moving Average" & Chr(10) & Chr(10) & _
"Select n periods of prices", _
Category:="Technical Indicators"
End Sub

Public Function WMA(close_)
total1 = 0
n = WorksheetFunction.Count(close_)
divisor = (n * (n + 1)) / 2
For a = 1 To n
total1 = total1 + close_(a, 1) * a
Next a
WMA = total1 / divisor
End Function

Method B
In general, Method B is preferred over Method Afor large datasets. It is much more faster.

Sub Runthis()
Dim close1 As Range, output as Range, n As Long

Set close1 = Range("E2:E11955")
Set output = Range("H2:H11955")

n = 5 'number of historical periods to look at
'needed for certain indicators
WMA_1 close1, output, n
End Sub

Sub WMA_1(close1 As Range, output As Range, n As Long)
For a = 1 To n
output(a, 1).Value = a
Next a
numrange = Range(output(1, 1), output(n, 1)).Address
pricerange = Range(close1(1, 1), close1(n, 1)).Address(False, False)
output(n, 2).Value = "=sumproduct(" & numrange & "," & pricerange & ")/(" & n & "*(" & n & "+1)/2)"
output(n, 2).Copy output.Offset(0, 1)
Range(output(1, 2), output(n - 1, 2)).Clear
End Sub

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Mike said...

THanks brother man! I tried Method A and it works just fine.

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