Miha
1.0 KiB
JMA Calculation
Initial Parameters:
\beta = factor \cdot \frac{period - 1}{factor \cdot (period - 1) + 2}
len1 = \frac{\ln(\sqrt{period - 1})}{\ln(2)} + 2
pow1 = \max(len1 - 2, 0.5)
phase \in [0.5, 2.5] (clamped to (phase \cdot 0.01) + 1.5)
Volatility Calculations:
del1_t = price_t - upperBand_{t-1}
del2_t = price_t - lowerBand_{t-1}
volty_t = \max(|del1_t|, |del2_t|)
vSum_t = \frac{\sum_{i=t-buffer+1}^t volty_i}{buffer}
avgVolty_t = \text{mean}(vSum_{t-64:t})
rVolty_t = \text{clamp}(\frac{volty_t}{avgVolty_t}, 1, len1^{1/pow1})
Band Calculations:
pow2_t = rVolty_t^{pow1}
K_v = \beta^{\sqrt{pow2_t}}
upperBand_t = price_t - K_v \cdot del1_t
\alpha_t = \beta^{pow2_t}
ma1_t = price_t + \alpha_t(ma1_{t-1} - price_t)
det0_t = price_t + \beta(det0_{t-1} - price_t + ma1_t) - ma1_t
ma2_t = ma1_t + phase \cdot det0_t
det1_t = (ma2_t - jma_{t-1})(1-\alpha_t)^2 + \alpha_t^2 \cdot det1_{t-1}
jma_t = jma_{t-1} + det1_t