/* Volume-Weighted Moving Average VWMA(k) */
/* Notice: using volume data in addition  */
new; cls;
let data[50,2]=
      60  10240000
      61   3041000
      60   3767000
      62   4427000
      60   3074000
      63   4258000
      64   2792000
      65   7381000
      69   5372000
      70   6280000
      69   6598000
      66   7093000
      64   6888000
      64   4799000
      62  11264000
      64   9145000
      65  16051000
      55  42481000
      53  17632000
      57   7251000
      60  12095000
      58  10858000
      63   3996000
      63   5487000
      63   7433000
      68   1980000
      69   2095000
      69   3887000
      68   3736000
      69   4134000
      70   8882000
      67   6457000
      66   8963000
      67   5253000
      68   4058000
      69   5248000
      69  13687000
      77   4240000
      80   5133000
      80   4798000
      78   3859000
      76   3952000
      76   6222000
      72   5364000
      71  12111000
      70   8230000
      73   9126000
      71   9371000
      78  10351000
      80  10236000
;
data=rev(data);               /* original data in reverse order */
vols=data[.,2]; data=data[.,1];
t=seqa(1,1,rows(data)); 

library pgraph;
graphset;
pqgwin auto;
title("Volume");
xy(t,vols);
_pltype=6;
_plegctl=1;
_plegstr="actual\000VWMA(5)\000VWMA(10)";
title("Volume-Weighted Moving Average");
xy(t,data~vwma(data,vols,5)~vwma(data,vols,10));



proc vwma(x,vols,k);
   local w,m,i,j;
   m=zeros(rows(x),cols(x));
   j=1;
   do while j<=cols(x);
      i=k;
      do while i<=rows(x);
         w=vols[i-k+1:i,j];
         w=w/sumc(w);
         m[i,j]=w'x[i-k+1:i,j];
         i=i+1;
       endo;
       j=j+1;
   endo;
   m[1:k-1,.]=miss(m[1:k-1,.],0);
   retp(m);
endp;