mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
66 lines
2.3 KiB
Plaintext
66 lines
2.3 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("Lanczos (Sinc) Window Moving Average (LANCZOS)", "LANCZOS", overlay=true)
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//@function Calculates LANCZOS using sinc window weighting
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//@param source Series to calculate LANCZOS from
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//@param period Lookback period - FIR window size
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//@returns LANCZOS value, calculates from first bar using available data
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//@reference Lanczos, C. (1956). "Applied Analysis." Prentice-Hall.
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lanczos(series float source, simple int period) =>
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if period < 2
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runtime.error("Period must be at least 2")
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float price = nz(source)
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// --- Circular buffer for rolling window ---
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var array<float> buffer = array.new_float(period, na)
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var int head = 0
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array.set(buffer, head, price)
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head := (head + 1) % period
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// --- Precompute Lanczos (sinc) window weights once ---
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// w(k) = sinc(2k/(N-1) - 1), sinc(x) = sin(pi*x)/(pi*x), sinc(0) = 1
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var array<float> weights = array.new_float(0)
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if barstate.isfirst
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float nm1 = (period - 1) * 1.0
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float wsum = 0.0
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for k = 0 to period - 1
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float x = nm1 > 0 ? (2.0 * k / nm1) - 1.0 : 0.0
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float pix = math.pi * x
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// Ternary guarantees lazy evaluation — avoids 0/0 when pix≈0
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float w = math.abs(pix) < 1e-8 ? 1.0 : math.sin(pix) / pix
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array.push(weights, w)
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wsum += w
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// Normalize weights to sum = 1
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if wsum > 1e-15
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for j = 0 to period - 1
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array.set(weights, j, array.get(weights, j) / wsum)
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int count = math.min(bar_index + 1, period)
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if count < period
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price
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else
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// --- Apply Lanczos window convolution via circular buffer ---
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// Buffer: head points to next-write = oldest entry
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// Weight[0] = oldest bar, Weight[period-1] = newest
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float result = 0.0
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for j = 0 to period - 1
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int idx = (head + j) % period
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float val = nz(array.get(buffer, idx))
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result += val * array.get(weights, j)
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result
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(14, "Period", minval=2)
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i_source = input.source(close, "Source")
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// Calculation
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lanczos_value = lanczos(i_source, i_period)
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// Plot
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plot(lanczos_value, "LANCZOS", color=color.yellow, linewidth=2)
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