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Worden Discussion Forum » Customer Training & Support » Ask a Trainer - TC2000 version 7 » weighted moving average

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Tkane
Posted : Tuesday, April 26, 2005 3:40:04 PM
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Joined: 10/7/2004
Posts: 3
 need help to create pcf for weighted moving average for 20 days price.
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Craig_S
Posted : Tuesday, April 26, 2005 3:44:50 PM


Worden Trainer

Joined: 10/1/2004
Posts: 18,819
 This has been talked about in the below thread. You should find what you need there:

Volume Weighted Average Price
- Craig
Here to Help!
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bustermu
Posted : Tuesday, April 26, 2005 7:16:47 PM
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Joined: 1/1/2005
Posts: 2,645
 A PCF for the Weight Moving Average, WMA, of Period P on C is of the form:

2*(P*C0+(P-1)*C1+(P-2)*C2+...+1*C(P-1))/(P*(P+1))

For example, the WMA of period 5 on C is:

2*(5*C0+4*C1+3*C2+2*C3+1*C4)/30

The WMA is related to the Linear Regression Moving Average, LRMA, and the Simple Moving Average, SMA, by:

LRMA = 3*WMA-2*SMA

all of the same period. This can be used to check your PCF for the WMA.

Thanks,
Jim Murphy
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