mwavg
Syntax
mwavg(Y, X, window, [minPeriods])
Please see Moving Functions (m-functions) for the parameters and windowing logic.
Details
Calculate the moving averages of X with Y as weights in a sliding window.
Note: Different from mavg that is based on a window of size (weight) length, mwavg must use X and Y of the same length.
The weights in a rolling window are automatically adjusted so that the sum of weights for all non-Null elements in the rolling window is 1.
Examples
Function mwavg can be used to calculate VWAP (volume-weighted average price):
$ price=2.1 2.2 2.3 2.5 2.6 2.8 2.7 2.5;
$ volume=10 20 10 40 10 40 10 20;
$ mwavg(price, volume, 4);
[,,,2.35,2.4125,2.61,2.65,2.6875]
$ mwavg(price, volume, 4, 2);
[,2.166667,2.2,2.35,2.4125,2.61,2.65,2.6875]
$ price1 = indexedSeries(date(2020.06.05)+1..8, price)
$ volume1 = indexedSeries(date(2020.06.05)+1..8, volume)
$ mwavg(price1,volume1, 4d)
label |
col1 |
|---|---|
2020.06.06 |
2.1 |
2020.06.07 |
2.1667 |
2020.06.08 |
2.2 |
2020.06.09 |
2.35 |
2020.06.10 |
2.4125 |
2020.06.11 |
2.61 |
2020.06.12 |
2.65 |
2020.06.13 |
2.6875 |
$ mwavg(price1,volume1, 1w)
label |
col1 |
|---|---|
2020.06.06 |
2.1 |
2020.06.07 |
2.1667 |
2020.06.08 |
2.2 |
2020.06.09 |
2.35 |
2020.06.10 |
2.3788 |
2020.06.11 |
2.5077 |
2020.06.12 |
2.5214 |
2020.06.13 |
2.5467 |