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Fibonacci Moving Average

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Miha Kralj
2023-01-04 13:51:57 -08:00
parent fc474f19ee
commit ca54856a66
10 changed files with 133 additions and 25 deletions
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Source/Trends/FMA_Series.cs
+59
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@@ -0,0 +1,59 @@
namespace QuanTAlib;
using System;
/* <summary>
FMA: Fibonacci Moving Average
FMA calculates the average across multiple EMAs with periods following Fibonacci sequence
(skipping initial Fibonacci numbers of 1, 1, 2) 3, 5, 8, 13, 21, 34...
FMA(n) = Average(EMA(3), EMA(5), EMA(8), ema(13), ... EMA(n-th Fib))
Sources:
https://kaabar-sofien.medium.com/the-fibonacci-moving-average-the-full-guide-60e718117595
https://www.tradingview.com/script/6pxgp2vh-Fibonacci-Moving-Average-FMA/
</summary> */
public class FMA_Series : Single_TSeries_Indicator {
double[,] fib;
double _oldsum;
int _len;
public FMA_Series(TSeries source, int period) : base(source, period, false) {
_len = period;
fib = new double[_len, 4];
int a = 3;
int b = 5;
int f = 0;
fib[0, 0] = 2 / ((double)a - 1);
if (_len > 1) { fib[1, 0] = 2 / ((double)b - 1); }
if (_len > 2) {
for (int i = 2; i < _len; i++) {
f = a + b;
a = b;
b = f;
fib[i, 0] = 2 / ((double)f - 1);
}
}
_oldsum = 0;
if (this._data.Count > 0) { base.Add(this._data); }
}
public override void Add((DateTime t, double v) TValue, bool update) {
double _sum = 0;
for (int i = 0; i < _len; i++) {
if (update) { fib[i, 1] = fib[i, 3]; _sum = _oldsum; }
else { fib[i, 3] = fib[i, 1]; _oldsum = _sum; }
if (this.Count == 0) { fib[i, 1] = TValue.v; }
else {
fib[i, 2] = fib[i, 0] * (TValue.v - fib[i, 1]) + fib[i, 1];
fib[i, 1] = fib[i, 2];
}
_sum += fib[i, 1];
}
double _fma = _sum / _len;
base.Add((TValue.t, _fma), update, _NaN);
}
}
Source/Trends/JMA_Series.cs
+5 -8
View File
@@ -35,8 +35,8 @@ public class JMA_Series : Single_TSeries_Indicator {
upperBand = lowerBand = prev_ma1 = prev_det0 = prev_det1 = prev_vsum = prev_jma = Kv = del1 = del2 = 0.0;
Kv = 0;
pr = (phase * 0.01) + 1.5;
if (phase < -100) pr = 0.5;
if (phase > 100) pr = 2.5;
if (phase < -100) { pr = 0.5; }
if (phase > 100) { pr = 2.5; }
mma1 = new();
mma2 = new();
@@ -83,8 +83,7 @@ public class JMA_Series : Single_TSeries_Indicator {
vsum = prev_vsum + 0.1 * (volty - volty_10.First());
if (update) { vsum_buff[vsum_buff.Count - 1] = vsum; }
else { vsum_buff.Add(vsum); }
if (vsum_buff.Count > (10*_p))
vsum_buff.RemoveAt(0);
if (vsum_buff.Count > (10 * _p)) { vsum_buff.RemoveAt(0); }
double avolty = 0;
for (int i = 0; i < vsum_buff.Count; i++) { avolty += vsum_buff[i]; }
avolty /= vsum_buff.Count;
@@ -94,10 +93,8 @@ public class JMA_Series : Single_TSeries_Indicator {
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);
if (rvolty < 1)
rvolty = 1;
if (rvolty > Math.Pow(len1, 1.0 / pow1)) { rvolty = Math.Pow(len1, 1.0 / pow1); }
if (rvolty < 1) { rvolty = 1; }
//// from rvolty to second smoothing
double pow2 = Math.Pow(rvolty, pow1);