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WMA FUNCTION

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Apr 1st, 2015
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  1. WMA <- function(L, data){
  2.   wma_w <- function(L,n)
  3.   {
  4.     if((n >= 0)&(n < L)) (2/(L*(L+1)))*(L-n)
  5.     else 0
  6.   }
  7.   x <- vector(mode="numeric", length=NROW(data))
  8.   for (i in 1:NROW(data)){
  9.      if (i<L) x[i] <- NA
  10.      else {
  11.        value = 0;
  12.        counter = 0;
  13.        for (j in i:(i-L+1)){
  14.          value = value + data[j] * wma_w(L,counter)
  15.          counter = counter + 1;
  16.        }
  17.        x[i]<-value;
  18.      }
  19.   }
  20.   return(x)
  21. }
  22. Quotes_ORCL[,11] <- WMA(10, Quotes_ORCL[, 2])
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