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Miha Kralj
33d20f2a18
Complete thin Dx-composition wrapper indicators with full test coverage: - PlusDi/MinusDi: Directional Indicator wrappers (DiPlus/DiMinus from Dx) - PlusDm/MinusDm: Directional Movement wrappers (DmPlus/DmMinus from Dx) - Individual validation tests per indicator directory (TALib, Skender, bounds) - Combined unit tests (DiDm.Tests.cs) and validation tests (DiDm.Validation.Tests.cs) - Quantower wrappers + tests for all 4 indicators - PineScript v6 implementations with compensated RMA - Normalized .md documentation for all indicators and categories - 182 tests passing, 0 failures
3.9 KiB
3.9 KiB
Trends (FIR)
Finite Impulse Response (FIR) trend indicators. These use fixed-length windows with explicit coefficients. No feedback loops, no recursion. Output depends only on current and past inputs. Always stable. Linear phase possible. SIMD-friendly batch computation.
Indicators
| Indicator | Full Name | Description |
|---|---|---|
| ALMA | Arnaud Legoux MA | Gaussian window with offset parameter. Smooth with configurable lag. |
| BLMA | Blackman MA | Blackman window. Excellent side-lobe suppression (-58 dB). |
| BWMA | Bessel-Weighted MA | Bessel window function. Good frequency resolution. |
| CONV | Convolution MA | Generic convolution with custom kernel. Building block for others. |
| CRMA | Cubic Regression MA | Cubic polynomial regression endpoint. Higher-order trend fit. |
| DWMA | Double Weighted MA | WMA of WMA. Smoother than single WMA. Triangular-like response. |
| FWMA | Fibonacci Weighted MA | Fibonacci-number kernel convolution. Golden ratio weighting. |
| GWMA | Gaussian Weighted MA | Centered Gaussian bell curve. No overshoot. σ controls width. |
| HAMMA | Hamming MA | Hamming window. -43 dB side lobes. Good general purpose. |
| HANMA | Hanning MA | Hanning (raised cosine). Zero at edges. Smooth roll-off. |
| HEND | Henderson MA | Henderson window. Optimized for trend extraction. Minimal distortion. |
| HMA | Hull MA | Reduced lag via weighted average differencing. Can overshoot. |
| ILRS | Integral of Linear Regression Slope | Cumulative linear regression slope. Smooth trend tracking. |
| KAISER | Kaiser Window MA | Kaiser-Bessel window. Adjustable β parameter for sidelobe control. |
| LANCZOS | Lanczos (Sinc) Window MA | Windowed sinc function. Optimal frequency-domain characteristics. |
| LSMA | Least Squares MA | Linear regression endpoint. Extrapolates trend. |
| NLMA | Non-Lag MA | Damped cosine kernel convolution. Near-zero lag FIR. |
| NYQMA | Nyquist MA | Dual LWMA cascade. Nyquist-compliant FIR smoothing. |
| PARZEN | Parzen (de la Vallée-Poussin) Window MA | Parzen window. Piecewise cubic. Good spectral leakage control. |
| PMA | Predictive Moving Average | Ehlers predictive filter combining WMA cascade with linear extrapolation. |
| PWMA | Pascal Weighted MA | Pascal's triangle coefficients. Binomial distribution weights. |
| QRMA | Quadratic Regression MA | Quadratic polynomial regression endpoint. Captures curvature. |
| RAIN | Rainbow MA | 10× cascaded SMA. Extreme smoothing via FIR convolution. |
| RWMA | Range Weighted MA | Weights derived from bar range. Volatility-adaptive FIR. |
| SGMA | Savitzky-Golay MA | Polynomial fit. Preserves higher moments. Shape-preserving. |
| SINEMA | Sine-Weighted MA | Sine wave weighting. Smooth bell-shaped emphasis. |
| SMA | Simple MA | Equal weights. Baseline reference. Lag = (N-1)/2. |
| SP15 | Spencer 15-Point MA | Spencer's 15-point symmetric filter. Classic statistical smoothing. |
| SWMA | Symmetric Weighted MA | Symmetric linear weights. Equal emphasis on both tails. |
| TRIMA | Triangular MA | Triangular weights. SMA of SMA. Emphasizes middle. |
| TSF | Time Series Forecast | Linear regression projected one step ahead. Extrapolates trend. |
| TUKEY_W | Tukey (Tapered Cosine) Window MA | Tukey window with adjustable taper ratio α. Flat-top cosine edges. |
| WMA | Weighted MA | Linear weights. Recent prices weighted more. Lag < SMA. |