mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
36 lines
1.7 KiB
Plaintext
36 lines
1.7 KiB
Plaintext
// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0
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// https://mozilla.org/MPL/2.0/
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// © QuanTAlib
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//@version=6
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indicator("SP15: Spencer 15-Point Moving Average", shorttitle="SP15", overlay=true)
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// @function Calculates the Spencer 15-Point Moving Average.
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// A symmetric FIR filter with fixed coefficients designed by John Spencer
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// for seasonal adjustment of economic time series. The 15 weights are:
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// [-3, -6, -5, 3, 21, 46, 67, 74, 67, 46, 21, 3, -5, -6, -3] / 320.
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// The filter has zero response at frequencies 2π/4 and 2π/5 (periods 4 and 5),
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// making it effective at removing quarterly and quintile seasonal components.
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// Centered at lag 7 bars.
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// @param src Series to smooth.
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// @returns The Spencer 15-point weighted average.
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sp15(series float src) =>
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// Spencer 15-point weights (symmetric, sum = 320)
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float w0 = -3.0
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float w1 = -6.0
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float w2 = -5.0
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float w3 = 3.0
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float w4 = 21.0
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float w5 = 46.0
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float w6 = 67.0
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float w7 = 74.0
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// Symmetric: w8=w6, w9=w5, ..., w14=w0
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float total = w0 * (src[0] + src[14]) + w1 * (src[1] + src[13]) + w2 * (src[2] + src[12]) + w3 * (src[3] + src[11]) + w4 * (src[4] + src[10]) + w5 * (src[5] + src[9]) + w6 * (src[6] + src[8]) + w7 * src[7]
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total / 320.0
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// ── Calculation ─────────────────────────────────────────
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result = sp15(close)
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// ── Plot ────────────────────────────────────────────────
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plot(result, "SP15", color=color.yellow, linewidth=2)
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