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.
44 lines
1.6 KiB
Plaintext
44 lines
1.6 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Regularized EMA (REMA)", "REMA", overlay=true)
|
|
|
|
//@function Calculates REMA using exponential smoothing with regularization term
|
|
//@param source Series to calculate REMA from
|
|
//@param period Lookback period used to determine alpha value
|
|
//@param lambda Regularization parameter (0-1) controlling smoothness
|
|
//@returns REMA value, calculates from first bar using available data
|
|
//@optimized Uses regularization term to reduce noise for O(1) complexity
|
|
rema(series float source, simple int period, simple float lambda=0.5) =>
|
|
float alpha = 2.0 / (period + 1.0)
|
|
var float rema_val = na
|
|
var float prev_rema = na
|
|
float result = na
|
|
if not na(source)
|
|
if na(rema_val)
|
|
rema_val := source
|
|
prev_rema := source
|
|
result := rema_val
|
|
else
|
|
prev_rema := rema_val
|
|
float ema_component = alpha * (source - rema_val) + rema_val
|
|
float reg_component = rema_val + (rema_val - prev_rema)
|
|
rema_val := lambda * (ema_component - reg_component) + reg_component
|
|
result := rema_val
|
|
else
|
|
result := rema_val
|
|
result
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_period = input.int(10, "Period", minval=1)
|
|
i_lambda = input.float(0.5, "Lambda", minval=0.0, maxval=1.0, step=0.1, tooltip="Regularization parameter: 0 = maximum regularization, 1 = standard EMA")
|
|
i_source = input.source(close, "Source")
|
|
|
|
// Calculation
|
|
rema_value = rema(i_source, i_period, i_lambda)
|
|
|
|
// Plot
|
|
plot(rema_value, "REMA", color=color.yellow, linewidth=2)
|