mwavg

mwavg(Y, X, window, [minPeriods])

Please see mFunctions for the parameters and windowing logic.

Calculate the moving averages of X with Y as weights in a sliding window.

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.

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);
// output
[,,,2.35,2.4125,2.61,2.65,2.6875]

mwavg(price, volume, 4, 2);
// output
[,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)

mwavg(price1,volume1, 1w)

Related functions: wavg, mavg.