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HWMA

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Miha Kralj
2022-12-27 12:28:53 -08:00
parent 509bf244d9
commit 83e5d89cbb
12 changed files with 110 additions and 14 deletions
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Source/Trends/HWMA_Series.cs
+57
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@@ -0,0 +1,57 @@
namespace QuanTAlib;
using System;
/* <summary>
HWMA: Holt-Winter Moving Average
Indicator HWMA (Holt-Winter Moving Average) is a three-parameter moving
average by the Holt-Winter method; Holt-Winters Exponential Smoothing is
used for forecasting time series data that exhibits both a trend and a
seasonal variation.
Sources:
https://timeseriesreasoning.com/contents/holt-winters-exponential-smoothing/
https://www.mql5.com/en/code/20856
nA - smoothed series (from 0 to 1)
nB - assess the trend (from 0 to 1)
nC - assess seasonality (from 0 to 1)
F[i] = (1-nA) * (F[i-1] + V[i-1] + 0.5 * A[i-1]) + nA * Price[i]
V[i] = (1-nB) * (V[i-1] + A[i-1]) + nB * (F[i] - F[i-1])
A[i] = (1-nC) * A[i-1] + nC * (V[i] - V[i-1])
HWMA[i] = F[i] + V[i] + 0.5 * A[i]
</summary> */
public class HWMA_Series : Single_TSeries_Indicator {
double _nA, _nB, _nC;
double _pF, _pV, _pA;
double _ppF, _ppV, _ppA;
public HWMA_Series(TSeries source, double nA = 0.2, double nB = 0.1, double nC = 0.1, bool useNaN = false) : base(source, 0, useNaN) {
_nA = nA;
_nB = nB;
_nC = nC;
if (this._data.Count > 0) { base.Add(this._data); }
}
public override void Add((DateTime t, double v) TValue, bool update) {
double _F, _V, _A;
if (this.Count == 0) { _pF = TValue.v; _pA = _pV = 0; }
if (update) { _pF = _ppF; _pV = _ppV; _pA = _ppA; }
else { _ppF = _pF; _ppV = _pV; _ppA = _pA; }
_F = (1 - _nA) * (_pF + _pV + 0.5 * _pA) + _nA * TValue.v;
_V = (1 - _nB) * (_pV + _pA) + _nB * (_F - _pF);
_A = (1 - _nC) * _pA + _nC * (_V - _pV);
double _hwma = _F + _V + 0.5 * _A;
_pF = _F;
_pV = _V;
_pA = _A;
base.Add((TValue.t, _hwma), update, _NaN);
}
}
Source/Trends/JMA_Series.cs
+4 -5
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@@ -91,9 +91,8 @@ public class JMA_Series : Single_TSeries_Indicator {
/// from avolty to rolty
double rvolty = (avolty != 0) ? volty / avolty : 0;
double len1 = (Math.Log(Math.Sqrt(0.5 * (_p - 1))) / Math.Log(2.0)) + 2;
if (len1 < 0)
len1 = 0;
double len1 = (Math.Log(Math.Sqrt(2.0 * _p)) / Math.Log(2.0)) + 2;
if (len1 < 0) len1 = 0;
double pow1 = Math.Max(len1 - 2.0, 0.5);
if (rvolty > Math.Pow(len1, 1.0 / pow1))
rvolty = Math.Pow(len1, 1.0 / pow1);
@@ -102,7 +101,7 @@ public class JMA_Series : Single_TSeries_Indicator {
//// from rvolty to second smoothing
double pow2 = Math.Pow(rvolty, pow1);
double len2 = Math.Sqrt(0.5 * (_p - 1)) * len1;
double len2 = Math.Sqrt(0.5 * (_p - 2)) * len1;
Kv = Math.Pow(len2 / (len2 + 2), Math.Sqrt(pow2));
double beta = 0.45 * (_p - 1) / (0.45 * (_p - 1) + 2);
double alpha = Math.Pow(beta * 1.1, pow2);
@@ -120,6 +119,6 @@ public class JMA_Series : Single_TSeries_Indicator {
double jma = prev_jma + det1;
prev_jma = jma;
base.Add((TValue.t, ma1), update, _NaN);
base.Add((TValue.t, jma), update, _NaN);
}
}