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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.
59 lines
2.4 KiB
Plaintext
59 lines
2.4 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("Leader EMA (LEMA)", "LEMA", overlay=true)
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//@function Computes Leader EMA — Siligardos' leading exponential moving average.
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// Adds a smoothed error correction to the standard EMA, making it respond
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// faster than EMA while maintaining smoothness.
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// Formula: Leader = EMA(source, N) + EMA(source - EMA(source, N), N)
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// The second term smooths the estimation error and adds it back, creating
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// a "leading" effect that anticipates price movement.
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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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//@returns Leader EMA value from first bar (with warmup compensation)
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//@reference Siligardos, G.E. (2008). "Leader of the MACD." Technical Analysis of
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// Stocks & Commodities, 26(7), 30-37.
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//@optimized O(1) per bar — two IIR state variables with warmup compensation
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lema(series float source, simple int period) =>
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float price = nz(source)
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float alpha = 2.0 / (period + 1)
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float beta = 1.0 - alpha
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// --- EMA1: standard EMA of source ---
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var float ema1 = 0.0
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var float e1 = 1.0
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var bool warmup1 = true
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ema1 := alpha * (price - ema1) + ema1
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float comp_ema1 = ema1
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if warmup1
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e1 *= beta
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comp_ema1 := ema1 / (1.0 - e1)
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warmup1 := e1 > 1e-10
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// --- Error: source - EMA(source) ---
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float error = price - comp_ema1
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// --- EMA2: EMA of the error series ---
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var float ema2 = 0.0
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var float e2 = 1.0
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var bool warmup2 = true
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ema2 := alpha * (error - ema2) + ema2
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float comp_ema2 = ema2
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if warmup2
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e2 *= beta
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comp_ema2 := ema2 / (1.0 - e2)
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warmup2 := e2 > 1e-10
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// --- Leader EMA = EMA(source) + EMA(error) ---
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comp_ema1 + comp_ema2
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// ── Inputs ──────────────────────────────────────────────────────────────
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src = input.source(close, "Source")
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per = input.int(14, "Period", minval=1)
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// ── Plot ────────────────────────────────────────────────────────────────
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plot(lema(src, per), "LEMA", color.new(color.yellow, 0), 2)
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