Square Root Weighted Moving Average (SRWMA)

Overview

The Square Root Weighted Moving Average represents a mathematical refinement of the traditional Weighted Moving Average (WMA). While standard WMA applies linear weights that decrease arithmetically with age, SRWMA uses the square root of these weights, creating a unique decay pattern. This modification results in a weighting scheme that gives more balanced emphasis across the lookback period - not as front-loaded as linear weighting, yet more responsive than simple averaging. The most recent price still receives the highest weight, but older prices retain more influence than in traditional weighted averages.

This square root transformation creates a moving average that excels in trending markets where both responsiveness and stability are required. The SRWMA smooths out price action effectively while maintaining sufficient sensitivity to detect genuine trend changes. By moderating the aggressive weighting of recent data found in linear weighted averages, it reduces whipsaws during volatile periods while still reacting faster than simple moving averages to directional moves, making it particularly suitable for medium-term trend following strategies.

Interpretation & Trading Signals

Example Usage

Code examples will be available once the Rust implementation is complete.