Cumulative Moving Average

The Cumulative Moving Average (Cma) is also frequently called a running average or a long running average although the term running average is also used as synonym for a moving average.

In some data acquisition systems, the data arrives in an orderly data stream and the statistician would like to calculate the average of all data up until the current data point, which in itself moves with time.  For example, an investor may want the average price of all trades for a particular financial instrument up until the current time.  As each new transaction occurs, the average price at the time of the transaction can be calculated for all transactions up to that point using the cumulative average.

Calculation

Chart Example

Implementation and Usage

Example

 1// Create new instance
 2Cma cma = new Cma();
 3
 4// Number of stored values
 5cma.HistoryCapacity = 2;
 6
 7// Add new data point
 8cma.Add(CurrentPrice, CurrentTime);
 9
10// Get indicator value
11double IndicatorValue = cma.CMA;
12// Get previous value
13if (cma.HistoryCount == 2)
14{
15    double IndicatorPrevValue = cma[1];
16}