Ken, I use a simple 4 period weighted ROC formula which gives more "weight" to the near term than to the longer term. The key is to divide by the sum of your weight factors. Here it is:
weighted_roc =(ROC(C,5)*4) + (ROC(C,15)*3) + (ROC(C,25)*2) + ROC (C,35)) / 10); regards, Tom --- In [email protected], Ken Close <[EMAIL PROTECTED]> wrote: > > I found the following in some old code written by someone else. > This is not AFL but you can see the way the weighted average is created. > Is this the mathematically correct way? > > > f1 = fselx (In AFL this would be f1 = Foreign("FSELX","C") ) > > w1 = 60 > > f2 = fsvlx > > w2 = 30 > > f3 = fsrbx > > w3 = 10 > > > > //Sum their weighted exponential growth rates. > > RateSum = w1 * Log(f1 / First(f1)) + > > w2 * Log(f2 / First(f2)) + > > w3 * Log(f3 / First(f3)) > > > > //Average the weighted exponential growth rates. > > RateAvg = RateSum / (w1 + w2 + w3) > > > > //Create a price series using the new growth rates. > > WeightedAvg = Pow(10, RateAvg) > > > _____ > > From: Mr. Valley [mailto:[EMAIL PROTECTED] > Sent: Tuesday, January 23, 2007 12:32 PM > To: [EMAIL PROTECTED] > Subject: RE: [AmiBroker] Weighted Average > > > If the total of the four symbols = 100% > Then each are a portion of 100%, then what portion is each to the total? > > > -----Original Message----- > From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf > Of Ken Close > Sent: Tuesday, January 23, 2007 10:25 AM > To: [email protected] > Subject: [amibroker] Weighted Average > > > > > > What would be the correct way to get a weighted average of three or four > tickers, with the weightings unequal? > > WtAvg = Wt1 * Price1 + Wt2 * Price2 + Wt3 * Price3. ?????? > > I am asking because I thought I remember seeing here or on another list that > doing what I wrote above will give an incorrect result. But I do not > remember what alternative was suggested. > > Any help? > > Thanks, > Ken >
