Centered Weighted Moving Averages (CWMA)
A weighted average is any average that has multiplying factors to give different weights to different data points.
DMP uses a table of predefined smoothing constants depending on the selected weight function. It includes the most used variations including the weight functions of Spencer and Henderson.
These Weighted Moving Average Functions options are available:
- 3x3 MA
- 5x5 MA
- Spencer 15 MA
- Spencer 21 MA
- Henderson 5 MA
- Henderson 9 MA
- Henderson 13 MA
- Henderson 23 MA
This table shows the commonly used weights in the weighted moving average, where S = Spencer’s weighted moving average and H = Henderson’s weighted moving average:
| α0 | α1 | α2 | α3 | α4 | α5 | α6 | α7 | α8 | α9 | α10 | α11 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 3-MA | 0.333 | 0.333 | ||||||||||
| 5-MA | 0.200 | 0.200 | 0.200 | |||||||||
| 2x12-MA | 0.083 | 0.083 | 0.083 | 0.083 | 0.083 | 0.083 | 0.042 | |||||
| 3x3-MA | 0.333 | 0.222 | 0.111 | |||||||||
| 3x5-MA | 0.200 | 0.200 | 0.133 | 0.067 | ||||||||
| S15-MA | 0.231 | 0.209 | 0.144 | 0.066 | 0.009 | -0.016 | -0.019 | -0.009 | ||||
| S21-MA | 0.171 | 0.163 | 0.134 | 0.094 | 0.051 | 0.017 | -0.006 | -0.014 | -0.014 | -0.009 | -0.003 | |
| H5-MA | 0.558 | 0.294 | -0.073 | |||||||||
| H9-MA | 0.330 | 0.267 | 0.119 | -0.010 | -0.041 | |||||||
| H13-MA | 0.240 | 0.214 | 0.147 | 0.066 | 0.000 | -0.028 | -0.019 | |||||
| H23-MA | 0.148 | 0.138 | 0.122 | 0.097 | 0.068 | 0.039 | 0.013 | -0.005 | -0.015 | -0.016 | -0.011 | -0.004 |