Thread: Weighted Moving Average Question

Let's say you have four initial moving averages - A, B, C && D. You then create three new (derivative) moving averages from those four using the following simple formulas:

Moving Average E = Moving Average A - Moving Average B.
Moving Average F = Moving Average B - Moving Average C.
Moving Average G = Moving Average C - Moving Average D.

Now, you want to create on final moving average - H- which is the weighted moving average of E, F, && G. What would be the formula?

Obviously, it would be H = (E*weight1) + (F*weight2) + (G*weight3)/(weight1 + weight2 + weight3).

But how would you figure out the correct weighting?

Any help would be appreciated! Thanks!

Hey srgtoy.

How do you want to weight this set of moving averages? Is the factor the length of the interval corresponding to the average for each segment? Some other factor?

Thanks for your reply. I think I figured out the problem.