mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
67 lines
2.0 KiB
Plaintext
67 lines
2.0 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Hull Moving Average (HMA)", "HMA", overlay=true)
|
|
|
|
//@function Calculates WMA using circular buffer with O(1) complexity
|
|
//@param source Series to calculate WMA from
|
|
//@param period Lookback period
|
|
//@returns WMA value
|
|
wma_helper(series float source, simple int period) =>
|
|
var array<float> buffer = array.new_float(period, na)
|
|
var int head = 0
|
|
var float sum = 0.0
|
|
var float weighted_sum = 0.0
|
|
var int count = 0
|
|
var float norm = 0.0
|
|
|
|
float oldest = array.get(buffer, head)
|
|
float current = nz(source)
|
|
|
|
if not na(oldest)
|
|
float old_sum = sum
|
|
sum -= oldest
|
|
sum += current
|
|
weighted_sum := weighted_sum - old_sum + (period * current)
|
|
else
|
|
count += 1
|
|
sum += current
|
|
weighted_sum := weighted_sum + (count * current)
|
|
norm := count * (count + 1) * 0.5
|
|
|
|
array.set(buffer, head, current)
|
|
head := (head + 1) % period
|
|
|
|
weighted_sum / norm
|
|
|
|
//@function Calculates HMA using optimized WMA helper function
|
|
//@param source Series to calculate HMA from
|
|
//@param period Lookback period - FIR window size
|
|
//@returns HMA value, calculates from first bar using available data
|
|
//@optimized Uses three O(1) WMA calculations for combined O(1) complexity per bar
|
|
hma(series float source, simple int period) =>
|
|
if period <= 0
|
|
runtime.error("Period must be greater than 0")
|
|
|
|
int half_period = math.max(1, math.round(period / 2.0))
|
|
int sqrt_period = math.max(1, math.round(math.sqrt(period)))
|
|
|
|
float wma_half = wma_helper(source, half_period)
|
|
float wma_full = wma_helper(source, period)
|
|
float diff = 2.0 * wma_half - wma_full
|
|
float hma_value = wma_helper(diff, sqrt_period)
|
|
|
|
hma_value
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_period = input.int(10, "Period", minval=1)
|
|
i_source = input.source(close, "Source")
|
|
|
|
// Calculation
|
|
hma_value = hma(i_source, i_period)
|
|
|
|
// Plot
|
|
plot(hma_value, "HMA", color=color.yellow, linewidth=2)
|