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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 Price t + (n-1) x Price t-1 + … + 2 x Price t-n+2 + Price t-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 vällingby called "Technical Indicators".
Sub AddUDF() vällingby Application.MacroOptions macro:="WMA", _ Description:="Returns the Weighted Moving Average" & Chr(10) & Chr(10) vällingby & _ "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
The objective of Finance4Traders is to help traders get started by bringing them unbiased research and ideas. Since late 2005, I have been developing trading strategies on a personal basis. Not all of these models vällingby are suitable for me, but other investors or traders might find them useful. After all, people vällingby have different investment/trading goals and habits. Thus, Finance4Traders becomes a convenient platform to disseminate my work... (Read more about Finance4Traders)
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Technical indicators are more than just equations. Well developed indicators, when applied scientifically, are actually tools to help traders extract critical information from financial data... (Read on) • Why I prefer to use Excel
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