mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
35a6702b06
Deep review of all indicator categories verified .md headers against .cs WarmupPeriod, parameters, inputs, and outputs. Fixes include warmup corrections, parameter documentation, output type accuracy, and Pine Script alignment.
59 lines
2.1 KiB
Plaintext
59 lines
2.1 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Generalized Double Exponential Moving Average (GDEMA)", "GDEMA", overlay=true)
|
|
|
|
//@function Computes Generalized DEMA — extends standard DEMA with a tunable volume factor
|
|
// that controls the aggressiveness of lag compensation.
|
|
// GDEMA = (1 + v) * EMA1 - v * EMA2, where EMA2 = EMA(EMA1).
|
|
// When v=1 → standard DEMA; v=0 → plain EMA; v>1 → more aggressive lag removal.
|
|
//@param source Series to analyze
|
|
//@param period Lookback period for both EMA stages
|
|
//@param vfactor Volume/gain factor controlling lag compensation aggressiveness
|
|
//@returns Generalized DEMA value from first bar with proper warmup compensation
|
|
//@reference Patrick G. Mulloy, "Smoothing Data with Faster Moving Averages" (TASC, Feb 1994)
|
|
//@optimized O(1) per bar; two cascaded EMA states with shared warmup compensator
|
|
gdema(series float source, simple int period, simple float vfactor) =>
|
|
|
|
float a = 2.0 / (period + 1)
|
|
float beta = 1.0 - a
|
|
|
|
var bool warmup = true
|
|
var float e = 1.0
|
|
var float ema1_raw = 0.0
|
|
var float ema2_raw = 0.0
|
|
var float ema1 = source
|
|
var float ema2 = source
|
|
|
|
ema1_raw := a * (source - ema1_raw) + ema1_raw
|
|
|
|
if warmup
|
|
e *= beta
|
|
float c = 1.0 / (1.0 - e)
|
|
ema1 := c * ema1_raw
|
|
ema2_raw := a * (ema1 - ema2_raw) + ema2_raw
|
|
ema2 := c * ema2_raw
|
|
warmup := e > 1e-10
|
|
else
|
|
ema1 := ema1_raw
|
|
ema2_raw := a * (ema1 - ema2_raw) + ema2_raw
|
|
ema2 := ema2_raw
|
|
|
|
// Generalized DEMA: (1 + v) * EMA1 - v * EMA2
|
|
// v=0 → EMA, v=1 → standard DEMA, v>1 → more lag reduction (more overshoot)
|
|
(1.0 + vfactor) * ema1 - vfactor * ema2
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_period = input.int(10, "Period", minval=1)
|
|
i_vfactor = input.float(1.0, "Volume Factor (v)", minval=0.0, maxval=3.0, step=0.1,
|
|
tooltip="0=EMA, 1=standard DEMA, >1=more aggressive lag removal")
|
|
i_source = input.source(close, "Source")
|
|
|
|
// Calculation
|
|
gdema_value = gdema(i_source, i_period, i_vfactor)
|
|
|
|
// Plot
|
|
plot(gdema_value, "GDEMA", color=color.yellow, linewidth=2)
|