mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-16 17:48:05 +00:00
Miha Kralj
ed5e5c8209
- Implement tests for HMA (Hull Moving Average) indicator to verify default settings, history depth calculations, and value computations during updates. - Create tests for KAMA (Kaufman Adaptive Moving Average) indicator, ensuring correct defaults, history depth, and value calculations. - Add tests for SMA (Simple Moving Average) indicator, checking default values, history depth, and value computations. - Develop tests for T3 (Tillson T3 Moving Average) indicator, validating defaults, history depth, and value calculations. - Implement tests for TEMA (Triple Exponential Moving Average) indicator, ensuring correct defaults and value computations. - Create tests for TRIMA (Triangular Moving Average) indicator, verifying defaults, history depth, and value calculations. - Add tests for WMA (Weighted Moving Average) indicator, checking default values, history depth, and value computations.
84 lines
2.8 KiB
Markdown
84 lines
2.8 KiB
Markdown
# ALMA: Arnaud Legoux Moving Average
|
|
|
|
## Overview and Purpose
|
|
|
|
The Arnaud Legoux Moving Average (ALMA) is a technical indicator that attempts to bridge the gap between responsiveness and smoothness. It uses a Gaussian distribution to determine the weights of the moving average, allowing the user to shift the peak of the weight distribution (offset) and control the width of the distribution (sigma).
|
|
|
|
ALMA is designed to reduce lag while maintaining smoothness, making it superior to traditional moving averages like SMA or EMA in many trend-following applications.
|
|
|
|
## Core Concepts
|
|
|
|
* **Gaussian Weighting:** Weights are distributed according to a bell curve.
|
|
* **Offset Control:** Allows shifting the focus of the average. An offset of 0.5 is a symmetric filter (like SMA/WMA), while an offset closer to 1.0 makes it more responsive to recent prices.
|
|
* **Sigma Control:** Controls the "sharpness" of the filter. Higher sigma values include more data points in the calculation, making it smoother but potentially introducing more lag.
|
|
|
|
## Parameters
|
|
|
|
| Parameter | Default | Description |
|
|
|-----------|---------|-------------|
|
|
| Period | 9 | The window size for the moving average. |
|
|
| Offset | 0.85 | The center of the Gaussian distribution (0.0 to 1.0). |
|
|
| Sigma | 6.0 | The standard deviation of the Gaussian distribution. |
|
|
|
|
## Formula
|
|
|
|
The weight for the $i$-th element in the window (where $i=0$ is the oldest) is calculated as:
|
|
|
|
$$W_i = \exp\left(-\frac{(i - \text{offset\_idx})^2}{2\sigma_{idx}^2}\right)$$
|
|
|
|
Where:
|
|
|
|
* $\text{offset\_idx} = \lfloor \text{Period} \times \text{Offset} \rfloor$
|
|
* $\sigma_{idx} = \text{Period} / \text{Sigma}$
|
|
|
|
The ALMA value is the weighted sum:
|
|
|
|
$$ALMA = \frac{\sum_{i=0}^{n-1} P_i \times W_i}{\sum_{i=0}^{n-1} W_i}$$
|
|
|
|
## C# Implementation
|
|
|
|
### Standard Usage
|
|
|
|
```csharp
|
|
using QuanTAlib;
|
|
|
|
// Initialize with period 9, offset 0.85, sigma 6
|
|
var alma = new Alma(9, offset: 0.85, sigma: 6.0);
|
|
|
|
// Update with new value
|
|
TValue result = alma.Update(new TValue(time, price));
|
|
Console.WriteLine($"ALMA: {result.Value}");
|
|
```
|
|
|
|
### Zero-Allocation Span API
|
|
|
|
```csharp
|
|
double[] prices = ...;
|
|
double[] output = new double[prices.Length];
|
|
|
|
// Calculate ALMA for the entire array
|
|
Alma.Calculate(prices.AsSpan(), output.AsSpan(), period: 9, offset: 0.85, sigma: 6.0);
|
|
```
|
|
|
|
### Bar Correction
|
|
|
|
```csharp
|
|
var alma = new Alma(9);
|
|
|
|
// Update with initial tick
|
|
alma.Update(new TValue(time, 100), isNew: true);
|
|
|
|
// Update with correction (same bar)
|
|
alma.Update(new TValue(time, 101), isNew: false);
|
|
```
|
|
|
|
## Interpretation
|
|
|
|
* **Trend Following:** Like other moving averages, ALMA helps identify the trend direction.
|
|
* **Crossovers:** Price crossing ALMA or two ALMAs crossing each other can signal trend changes.
|
|
* **Support/Resistance:** ALMA often acts as dynamic support/resistance.
|
|
|
|
## References
|
|
|
|
* Arnaud Legoux and Dimitris Kouzis-Loukas (2009).
|