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https://github.com/mihakralj/QuanTAlib.git
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86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
81 lines
2.2 KiB
Plaintext
81 lines
2.2 KiB
Plaintext
//@version=6
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indicator("HEMA (Exponential Hull Analog)", "HEMAx", overlay=true)
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// Half-life -> alpha (exponential definition)
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alphaFromHalfLife(float hl) =>
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hl := math.max(1.0, hl)
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-math.expm1(-math.log(2.0) / hl)
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// Exponential Hull Analog (EMA-domain HMA)
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hema(series float src, simple int N) =>
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// --- guardrails ---
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float n = math.max(float(N), 2.0) // HMA-like structure needs N>=2 to avoid fast==slow weirdness
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// --- alphas (period converted immediately to half-life alpha) ---
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float aS = alphaFromHalfLife(n)
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float aF = alphaFromHalfLife(math.max(1.0, n * 0.5))
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float aM = alphaFromHalfLife(math.max(1.0, math.sqrt(n)))
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float bS = 1.0 - aS
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float bF = 1.0 - aF
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float bM = 1.0 - aM
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// --- lag-derived ratio for the de-lag combiner ---
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float lagS = bS / aS
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float lagF = bF / aF
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float r = lagF / lagS
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r := math.min(math.max(r, 0.0), 0.999999) // keep denom sane
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// --- state (unbiased EMA warmup) ---
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var bool warmup = true
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var float dS = 1.0
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var float dF = 1.0
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var float dM = 1.0
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var float eSraw = 0.0
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var float eFraw = 0.0
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var float eMraw = 0.0
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float eS = na
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float eF = na
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float out = na
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// raw EMAs
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eSraw := aS * (src - eSraw) + eSraw
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eFraw := aF * (src - eFraw) + eFraw
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if warmup
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// update decays for unbiased correction
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dS *= bS
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dF *= bF
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dM *= bM
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float invS = 1.0 / math.max(1.0 - dS, 1e-12)
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float invF = 1.0 / math.max(1.0 - dF, 1e-12)
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float invM = 1.0 / math.max(1.0 - dM, 1e-12)
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eS := eSraw * invS
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eF := eFraw * invF
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float deLag = (eF - r * eS) / (1.0 - r)
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eMraw := aM * (deLag - eMraw) + eMraw
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out := eMraw * invM
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// end warmup only when ALL stages are effectively unbiased
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warmup := math.max(dS, math.max(dF, dM)) > 1e-10
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else
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eS := eSraw
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eF := eFraw
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float deLag = (eF - r * eS) / (1.0 - r)
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eMraw := aM * (deLag - eMraw) + eMraw
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out := eMraw
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out
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// Inputs
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i_period = input.int(10, "Period (half-life bars)", minval=1)
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i_source = input.source(close, "Source")
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hema_value = hema(i_source, i_period)
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plot(hema_value, "HEMAx", color=color.yellow, linewidth=2)
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