mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-14 00:28:05 +00:00
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>
44 lines
1.8 KiB
Plaintext
44 lines
1.8 KiB
Plaintext
// The MIT License (MIT)
|
|
// © mihakralj
|
|
//@version=6
|
|
indicator("Recursive Gaussian Moving Average (RGMA)", "RGMA", overlay=true)
|
|
|
|
//@function Calculates RGMA using cascaded recursive filters to approximate Gaussian smoothing
|
|
//@param source Series to calculate RGMA from
|
|
//@param period Effective smoothing period
|
|
//@param passes Number of recursive passes (higher = more Gaussian-like)
|
|
//@returns RGMA value with gaussian-like smoothing properties using recursive calculation
|
|
//@optimized Uses cascaded exponential filters for O(1) complexity per bar
|
|
rgma(series float source, simple int period, simple int passes=3) =>
|
|
if period <= 0
|
|
runtime.error("Period must be greater than 0")
|
|
if passes <= 0
|
|
runtime.error("Passes must be greater than 0")
|
|
simple float alpha = 2.0 / (period / math.sqrt(passes) + 1.0)
|
|
var array<float> filters = array.new_float(passes, na)
|
|
float result = na
|
|
if not na(source)
|
|
if na(array.get(filters, 0))
|
|
array.fill(filters, source)
|
|
result := source
|
|
else
|
|
array.set(filters, 0, alpha * (source - array.get(filters, 0)) + array.get(filters, 0))
|
|
if passes > 1
|
|
for i = 1 to passes - 1
|
|
array.set(filters, i, alpha * (array.get(filters, i - 1) - array.get(filters, i)) + array.get(filters, i))
|
|
result := array.get(filters, passes - 1)
|
|
result
|
|
|
|
// ---------- Main loop ----------
|
|
|
|
// Inputs
|
|
i_period = input.int(10, "Period", minval=1)
|
|
i_passes = input.int(3, "Passes", minval=1, maxval=10, tooltip="More passes create more Gaussian-like smoothing")
|
|
i_source = input.source(close, "Source")
|
|
|
|
// Calculation
|
|
rgma_value = rgma(i_source, i_period, i_passes)
|
|
|
|
// Plot
|
|
plot(rgma_value, "RGMA", color=color.yellow, linewidth=2)
|