mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
56 lines
1.8 KiB
Plaintext
56 lines
1.8 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("Holt-Winters Moving Average (HWMA)", "HWMA", overlay=true)
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//@function Calculates HWMA using triple exponential smoothing with level, velocity, and acceleration components
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//@param source Series to calculate HWMA from
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//@param alpha Level smoothing factor
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//@param beta Velocity smoothing factor
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//@param gamma Acceleration smoothing factor
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//@param period When used, calculate alpha/beta/gamma from period
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//@returns HWMA value from first bar with proper compensation
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//@optimized Uses triple exponential smoothing with O(1) complexity per bar
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hwma(series float source, float alpha=0.0, float beta=0.0, float gamma=0.0, simple int period=0) =>
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float a = period > 0 ? 2.0 / (float(period) + 1.0) : alpha
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float b = period > 0 ? 1.0 / float(period) : beta
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float g = period > 0 ? 1.0 / float(period) : gamma
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var float F = na
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var float V = 0.0
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var float A = 0.0
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if na(source)
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if na(F)
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na
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else
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float prevF = F
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float prevV = V
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float prevA = A
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F := prevF + prevV + 0.5 * prevA
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V := prevV + prevA
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A := 0.9 * prevA
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F
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else
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if na(F)
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F := source
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F
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else
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float prevF = F
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float prevV = V
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float prevA = A
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F := a * source + (1.0 - a) * (prevF + prevV + 0.5 * prevA)
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V := b * (F - prevF) + (1.0 - b) * (prevV + prevA)
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A := g * (V - prevV) + (1.0 - g) * prevA
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F + V + 0.5 * A
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(10, "Period", minval=1)
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i_source = input.source(close, "Source")
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// Calculation
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hwma_value = hwma(i_source, period=i_period)
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// Plot
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plot(hwma_value, "HWMA", color=color.yellow, linewidth=2)
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