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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
35a6702b06
Deep review of all indicator categories verified .md headers against .cs WarmupPeriod, parameters, inputs, and outputs. Fixes include warmup corrections, parameter documentation, output type accuracy, and Pine Script alignment.
51 lines
2.0 KiB
Plaintext
51 lines
2.0 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("Holt Exponential Moving Average (HOLT)", "HOLT", overlay=true)
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//@function Calculates Holt EMA using double exponential smoothing (level + trend)
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//@param source Series to smooth
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//@param period Lookback period (determines alpha = 2/(period+1))
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//@param gamma Trend smoothing factor (0..1). Default: same as alpha
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//@returns Holt EMA value (level + trend) from first bar
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//@description Holt's (1957) double exponential smoothing tracks both level and trend.
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// Level equation: L_t = alpha * y_t + (1 - alpha) * (L_{t-1} + B_{t-1})
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// Trend equation: B_t = gamma * (L_t - L_{t-1}) + (1 - gamma) * B_{t-1}
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// Output: HOLT_t = L_t + B_t (1-step-ahead forecast)
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// When gamma=0, degenerates to standard EMA (no trend correction).
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// When gamma=alpha, provides balanced level/trend tracking.
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holt(series float source, simple int period, simple float gamma=0) =>
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float alpha = 2.0 / (period + 1)
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float g = gamma > 0 ? gamma : alpha
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var float level = na
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var float trend = 0.0
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float result = na
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if na(level)
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// First bar: initialize level to source, trend to 0
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level := source
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trend := 0.0
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result := source
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else
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float prevLevel = level
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// Level: alpha * source + (1 - alpha) * (prevLevel + trend)
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level := alpha * source + (1.0 - alpha) * (prevLevel + trend)
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// Trend: gamma * (level - prevLevel) + (1 - gamma) * trend
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trend := g * (level - prevLevel) + (1.0 - g) * trend
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// Output: level + trend (1-step-ahead forecast)
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result := level + trend
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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)
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i_gamma = input.float(0, "Gamma (0 = auto)", minval=0, maxval=1, step=0.01)
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i_source = input.source(close, "Source")
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// Calculation
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holt_value = holt(i_source, period=i_period, gamma=i_gamma)
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// Plot
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plot(holt_value, "HOLT", color=color.yellow, linewidth=2)
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