WMA (Weighted Moving Average)

The WMA assigns linearly increasing weights to more recent prices. The most recent price gets the highest weight, the second most recent gets a slightly lower weight, and so on.

Declaration

function init(ctx) {
  ctx.indicator('wma', 'WMA', { period: 20, source: 'close' });
}

Options

Option	Type	Default	Description
`period`	`number`	20	Lookback period
`source`	`string`	`'close'`	Price source (`open`, `high`, `low`, `close`, `hl2`, `hlc3`, `ohlc4`)

Output

Returns a single number[] series.

Accessing Values

function onBar(ctx, i) {
  const wmaValue = ctx.ind.wma[i];
}

Use Cases

Comparing Moving Average Types

function init(ctx) {
  ctx.indicator('sma', 'SMA', { period: 20 });
  ctx.indicator('ema', 'EMA', { period: 20 });
  ctx.indicator('wma', 'WMA', { period: 20 });
}

function onBar(ctx, i) {
  // WMA responds faster than SMA but slower than EMA
  // Useful as a middle ground between SMA and EMA
}

Calculation

$$WMA = \frac{\sum_{i=0}^{N-1} (N - i) \times Price_{t-i}}{\sum_{i=0}^{N-1} (N - i)}$$

SMA - Equal-weight moving average
EMA - Exponentially weighted
DEMA - Double EMA for reduced lag