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.
66 lines
2.3 KiB
Plaintext
66 lines
2.3 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Zero-Lag Triple EMA (ZLTEMA)", "ZLTEMA", overlay=true)
|
|
|
|
//@function Calculates ZLTEMA using zero-lag price and triple exponential smoothing with compensator
|
|
//@param source Series to calculate ZLTEMA from
|
|
//@param period Smoothing period
|
|
//@param alpha Optional smoothing factor (overrides period if provided)
|
|
//@returns ZLTEMA value with zero-lag effect applied
|
|
//@optimized Uses lag compensation buffer and exponential warmup compensator on all three EMA stages for O(1) complexity
|
|
zltema(series float source, simple int period=0, simple float alpha=0) =>
|
|
float a = alpha > 0 ? alpha : 2.0 / (period + 1)
|
|
float beta = 1.0 - a
|
|
simple int lag = math.max(1, math.round((period - 1) / 2))
|
|
var bool warmup = true
|
|
var float e = 1.0
|
|
var float ema1_raw = 0.0
|
|
var float ema2_raw = 0.0
|
|
var float ema3_raw = 0.0
|
|
var float ema1 = na
|
|
var float ema2 = na
|
|
var float ema3 = na
|
|
var priceBuffer = array.new<float>(lag + 1, na)
|
|
if not na(source)
|
|
if na(ema1)
|
|
ema1 := source
|
|
ema2 := source
|
|
ema3 := source
|
|
array.fill(priceBuffer, source)
|
|
array.shift(priceBuffer)
|
|
array.push(priceBuffer, source)
|
|
float laggedPrice = nz(array.get(priceBuffer, 0), source)
|
|
float signal = 2 * source - laggedPrice
|
|
ema1_raw := a * (signal - 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
|
|
ema3_raw := a * (ema2 - ema3_raw) + ema3_raw
|
|
ema3 := c * ema3_raw
|
|
warmup := e > 1e-10
|
|
else
|
|
ema1 := ema1_raw
|
|
ema2_raw := a * (ema1 - ema2_raw) + ema2_raw
|
|
ema2 := ema2_raw
|
|
ema3_raw := a * (ema2 - ema3_raw) + ema3_raw
|
|
ema3 := ema3_raw
|
|
3 * ema1 - 3 * ema2 + ema3
|
|
else
|
|
na
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_period = input.int(10, "Period", minval=1)
|
|
i_source = input.source(close, "Source")
|
|
|
|
// Calculation
|
|
zltema_value = zltema(i_source, i_period)
|
|
|
|
// Plot
|
|
plot(zltema_value, "ZLTEMA", color=color.yellow, linewidth=2)
|