mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
34 lines
847 B
Plaintext
34 lines
847 B
Plaintext
// Licensed under the Apache License, Version 2.0
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Cumulative Moving Average", "CMA", overlay=true)
|
|
|
|
//@function Calculates Cumulative Moving Average (Running Average / Cumulative Mean)
|
|
//@param source Series to calculate CMA from
|
|
//@returns CMA value - running mean of all historical values
|
|
cma(series float source) =>
|
|
// Persistent state
|
|
var float mean = 0.0
|
|
var int count = 0
|
|
|
|
float val = nz(source, mean)
|
|
count += 1
|
|
|
|
// Welford's algorithm: M_n = M_(n-1) + alpha * (x_n - M_(n-1))
|
|
float alpha = 1.0 / count
|
|
float delta = val - mean
|
|
mean := mean + alpha * delta
|
|
|
|
mean
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_source = input.source(close, "Source")
|
|
|
|
// Calculation
|
|
cma_value = cma(i_source)
|
|
|
|
// Plot
|
|
plot(cma_value, "CMA", color=color.yellow, linewidth=2)
|