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58 lines
1.6 KiB
C#
58 lines
1.6 KiB
C#
namespace QuanTAlib;
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using System;
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/* <summary>
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HWMA: Holt-Winter Moving Average
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Indicator HWMA (Holt-Winter Moving Average) is a three-parameter moving
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average by the Holt-Winter method; Holt-Winters Exponential Smoothing is
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used for forecasting time series data that exhibits both a trend and a
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seasonal variation.
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Sources:
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https://timeseriesreasoning.com/contents/holt-winters-exponential-smoothing/
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https://www.mql5.com/en/code/20856
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nA - smoothed series (from 0 to 1)
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nB - assess the trend (from 0 to 1)
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nC - assess seasonality (from 0 to 1)
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F[i] = (1-nA) * (F[i-1] + V[i-1] + 0.5 * A[i-1]) + nA * Price[i]
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V[i] = (1-nB) * (V[i-1] + A[i-1]) + nB * (F[i] - F[i-1])
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A[i] = (1-nC) * A[i-1] + nC * (V[i] - V[i-1])
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HWMA[i] = F[i] + V[i] + 0.5 * A[i]
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</summary> */
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public class HWMA_Series : Single_TSeries_Indicator {
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double _nA, _nB, _nC;
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double _pF, _pV, _pA;
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double _ppF, _ppV, _ppA;
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public HWMA_Series(TSeries source, double nA = 0.2, double nB = 0.1, double nC = 0.1, bool useNaN = false) : base(source, 0, useNaN) {
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_nA = nA;
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_nB = nB;
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_nC = nC;
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if (this._data.Count > 0) { base.Add(this._data); }
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}
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public override void Add((DateTime t, double v) TValue, bool update) {
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double _F, _V, _A;
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if (this.Count == 0) { _pF = TValue.v; _pA = _pV = 0; }
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if (update) { _pF = _ppF; _pV = _ppV; _pA = _ppA; }
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else { _ppF = _pF; _ppV = _pV; _ppA = _pA; }
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_F = (1 - _nA) * (_pF + _pV + 0.5 * _pA) + _nA * TValue.v;
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_V = (1 - _nB) * (_pV + _pA) + _nB * (_F - _pF);
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_A = (1 - _nC) * _pA + _nC * (_V - _pV);
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double _hwma = _F + _V + 0.5 * _A;
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_pF = _F;
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_pV = _V;
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_pA = _A;
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base.Add((TValue.t, _hwma), update, _NaN);
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}
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}
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