mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
78 lines
2.3 KiB
Plaintext
78 lines
2.3 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Double Weighted Moving Average (DWMA)", "DWMA", overlay=true)
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//@function Calculates DWMA using double weighted smoothing with inline O(1) WMA
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//@param source Series to calculate DWMA from
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//@param period Lookback period for both smoothing passes
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//@returns DWMA value, calculates from first bar using available data
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//@optimized Uses two inline O(1) WMA calculations for combined O(1) complexity per bar
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dwma(series float source, simple int period) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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var array<float> buffer1 = array.new_float(period, na)
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var int head1 = 0
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var float sum1 = 0.0
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var float weighted_sum1 = 0.0
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var int count1 = 0
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var float norm1 = 0.0
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var array<float> buffer2 = array.new_float(period, na)
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var int head2 = 0
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var float sum2 = 0.0
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var float weighted_sum2 = 0.0
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var int count2 = 0
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var float norm2 = 0.0
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float oldest1 = array.get(buffer1, head1)
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float current1 = nz(source)
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if not na(oldest1)
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float old_sum1 = sum1
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sum1 -= oldest1
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sum1 += current1
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weighted_sum1 := weighted_sum1 - old_sum1 + (period * current1)
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else
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count1 += 1
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sum1 += current1
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weighted_sum1 := weighted_sum1 + (count1 * current1)
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norm1 := count1 * (count1 + 1) * 0.5
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array.set(buffer1, head1, current1)
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head1 := (head1 + 1) % period
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float wma1 = weighted_sum1 / norm1
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float oldest2 = array.get(buffer2, head2)
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float current2 = nz(wma1)
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if not na(oldest2)
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float old_sum2 = sum2
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sum2 -= oldest2
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sum2 += current2
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weighted_sum2 := weighted_sum2 - old_sum2 + (period * current2)
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else
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count2 += 1
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sum2 += current2
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weighted_sum2 := weighted_sum2 + (count2 * current2)
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norm2 := count2 * (count2 + 1) * 0.5
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array.set(buffer2, head2, current2)
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head2 := (head2 + 1) % period
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weighted_sum2 / norm2
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(10, "Period", minval=1)
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i_source = input.source(close, "Source")
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// Calculation
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dwma_value = dwma(i_source, i_period)
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// Plot
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plot(dwma_value, "DWMA", color=color.yellow, linewidth=2)
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