mirror of
https://github.com/mihakralj/QuanTAlib.git
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52 lines
1.9 KiB
Plaintext
52 lines
1.9 KiB
Plaintext
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// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Moving Average Variable Period (MAVP)", "MAVP", overlay=true)
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//@function Calculates EMA with per-bar variable period (TA-Lib MAVP concept)
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//@param source Series to smooth
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//@param period Per-bar effective period (clamped to min_period..max_period)
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//@param min_period Minimum allowed period
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//@param max_period Maximum allowed period
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//@returns EMA value with variable alpha = 2/(period+1), compensated warmup
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//@optimized Uses adaptive warmup compensator that tracks cumulative (1-alpha) product for O(1) per bar
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mavp(series float source, series float period, simple int min_period, simple int max_period) =>
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if min_period < 1
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runtime.error("min_period must be >= 1")
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if max_period < min_period
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runtime.error("max_period must be >= min_period")
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var float ema = 0.0
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var float e = 1.0
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var bool warmup = true
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var float result = source
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float p = math.max(min_period, math.min(max_period, nz(period, min_period)))
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float a = 2.0 / (p + 1.0)
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float beta = 1.0 - a
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ema := a * (nz(source) - ema) + ema
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if warmup
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e *= beta
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float c = 1.0 / (1.0 - e)
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result := c * ema
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warmup := e > 1e-10
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else
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result := ema
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result
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(10, "Period", minval=1, tooltip="Base period for the variable-period EMA")
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i_min = input.int(2, "Min Period", minval=1, tooltip="Minimum allowed period")
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i_max = input.int(30, "Max Period", minval=2, tooltip="Maximum allowed period")
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i_source = input.source(close, "Source")
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// Per-bar period series: fixed here, replace with any series for adaptive behavior
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// In the C# implementation, this is an external per-bar series input
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float per_bar_period = float(i_period)
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// Calculation
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mavp_value = mavp(i_source, per_bar_period, i_min, i_max)
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// Plot
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plot(mavp_value, "MAVP", color=color.yellow, linewidth=2)
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