Method Calculate Weighted Moving Average of doubles in List

[balltrader]

This method can be included in your indicator script, to take the items in a List, added in sequential order (FIFO) and calculate the Weighted Moving Average of the latest N values in the List, applying more importance to more recent items. Comments and print statements included for understanding the code. It's not LINQ but it's easier to understand.

/*
Pass in a List of doubles, and the number of items in that list that you want to calculate a Weighted Moving Average
on a List which is built in sequential order, with the newest items added to the end of the List (higher index values)
so in weighted average, the newest items are weighted with a higher percentage of importance
*/
double Wgtd_Avg_From_List(List<double> _List, int _Period)
{
    // if List is empty, return 0                        
    if (_List.Count < 1)
        return 0;

    // for loop limit, use smaller of List Count or the period
    int _List_Loop_Limit = Math.Min(_List.Count, _Period);
    //Print("in method, list count= "+ _List.Count +", loop limit= "+ _List_Loop_Limit );


    // get weighted avg (higher priority on more recent items)
    double _wgtd_avg_numerator = 0;
    double _wgtd_avg_denominator = (0.5 * (_List_Loop_Limit * (_List_Loop_Limit + 1) )  );
    double _wgtd_avg = 0.0; // the wghtd mv avg

    // loop thru the list, starting with newest element and moving to element at _Period
    // if List has 20 items, and Period is 5, we want to start with item at index 19 (20-1), and repeat down to item at index 14 (20-5)
    // we count up in the loop so we get the weights correct based on loop index
    for(int i = 0; i < _List_Loop_Limit; i++)
    {    
        //Print("in loop, i= "+ i +", limit= "+ _List_Loop_Limit );
        // calc numerator, using newest item in List, weight is highest ( * Limit - i)
        // get newest item in List, using  _List.Count -1 - i, times the highest weight, for the newest item
        _wgtd_avg_numerator += _List[(_List.Count -1 -i)] * (_List_Loop_Limit -i ) ; // weight is number of items in loop, minus the loop index

        // after last item
        if( i == _List_Loop_Limit - 1 )
        {
            _wgtd_avg = _wgtd_avg_numerator / _wgtd_avg_denominator ;
        }

        //Print("   wgtd avg func, List index= "+ (_List.Count -1 -i) +", input= "+ _List[(_List.Count -1 -i)].ToString("N2") +",\t\t numerator= "+ _List[(_List.Count -1 -i)] +" * "+ (_List_Loop_Limit - i)  +" \t\t= "+ (_List[(_List.Count -1 -i)] * (_List_Loop_Limit - i) ) +" += "+ _wgtd_avg_numerator +", denom= "+ _wgtd_avg_denominator);

    }

    //Print("  after loop, wgtd_avg= "+ _wgtd_avg);

    return _wgtd_avg;
} // END  Wgtd_Avg_From_List​