WeightedMovingAverage(Series,Double[]) Method

Here we evaluate the Weighted Moving Average(WMA) where for each period for which the WMA is evaluated the historical terms are weighted in accordance with the same set of weights.

Syntax

Visual Basic
C#

'Declaration
 
Public Overloads Shared Function WeightedMovingAverage( _
   ByVal s As Series, _
   ByVal weights() As Double _
) As Series

'Usage
 
Dim s As Series
Dim weights() As Double
Dim value As Series
 
value = StatisticalEngine.WeightedMovingAverage(s, weights)

public static Series WeightedMovingAverage( 
   Series s,
   double[] weights
)

Parameters

s: An series of historical values, where the first element corresponds to the market on the last period, the second term to the value on previous period and so on.
weights: Array of doubles which assigns weights to the k-th previous historical values for the given period on which the moving average is being evaluated. Here k is just the length of the weights array given.

Return Value

A series where the first term is the value of the moving average corresponding of the latest period, the second term is the value for the previous period and so on.

Exceptions

Exception	Description
System.ArgumentException	Thrown if the length of the weights and series differ or if either array is empty.

Remarks

I.e. The weights shift with the window of the historical values.

Application

Generally speaking the WMA is used in order to allow more weight to be assigned to more resent price dynamics. Here the length of the weights array is used as the length of the period over which the moving average is calculated. If you wish to control the number of periods used within the moving average then we refer you to (historicalPrices, weights, lengthOfMovingAverage).

Requirements

Target Platforms: Windows 7, Windows Vista SP1 or later, Windows XP SP3, Windows Server 2008 (Server Core not supported), Windows Server 2008 R2 (Server Core supported with SP1 or later), Windows Server 2003 SP2

Reference

StatisticalEngine Class
StatisticalEngine Members
Overload List