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Weighted moving averages

A weighted moving average is calculated by defining weight factors, W1, W2,... Wn, for each day in the n day moving average. The weighted moving average for day d is then:

A_d = \frac{\sum_{i=1}^{n} W_i M_{(d-i)+1}}{\sum_{i=1}^{n} W_i}, n\leq d

Note that if all the weights, Wi are 1, this equation reduces to that of a simple moving average.

By John Walker