mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
70 lines
2.5 KiB
C#
70 lines
2.5 KiB
C#
namespace QuanTAlib;
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using System;
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using System.Linq;
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/* <summary>
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EMA: Exponential Moving Average
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EMA needs very short history buffer and calculates the EMA value using just the
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previous EMA value. The weight of the new datapoint (k) is k = 2 / (period-1)
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Sources:
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https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:moving_averages
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https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
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https://blog.fugue88.ws/archives/2017-01/The-correct-way-to-start-an-Exponential-Moving-Average-EMA
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Issues:
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There is no consensus what the first EMA value should be - a zero, a first
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datapoint, or an average of the initial Period bars. All three starting methods
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converge within 20+ bars to the same moving average. Most implementations (including this one)
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use SMA() for the first Period bars as a seeding value for EMA.
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</summary> */
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public class EMA_Series : Single_TSeries_Indicator {
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private double _k;
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private double _lastema, _lastlastema;
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private double _sum, _oldsum;
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private int _len, _oldlen;
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private readonly bool _useSMA;
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public EMA_Series(TSeries source, int period, bool useNaN = false, bool useSMA = true) : base(source, period, useNaN) {
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this._k = 2.0 / (this._p + 1);
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_sum = _oldsum = _lastema = _lastlastema = 0;
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_len = _oldlen = 0;
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_useSMA = useSMA;
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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 _ema = 0;
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if (update) { _lastema = _lastlastema; _sum = _oldsum; }
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else { _lastlastema = _lastema; _oldsum = _sum; _len++; }
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// when period = 0, create cumulative/additive series where _k is progressively larger
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if (_period == 0) { _k = 2.0 / (_len + 1); }
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// the first value of the series
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if (this.Count == 0) {
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_ema = _sum = TValue.v;
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}
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// if SMA is used for seeding, calculate SMA within period
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else if (_len <= _period && _useSMA && _p != 0) {
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_sum += TValue.v;
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if (_period != 0 && _len > _period) {
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_sum -= (_data[base.Count - _period - (update ? 1 : 0)].v);
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}
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_ema = _sum / Math.Min(_len, _period);
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}
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// calculate EMA out from last EMA and factor k
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else {
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_ema = _k * (TValue.v - _lastema) + _lastema;
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}
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_lastema = _ema;
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base.Add((TValue.t, _ema), update, _NaN);
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}
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public void Reset() {
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_sum = _oldsum = _lastema = _lastlastema = 0;
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_len = _oldlen = 0;
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}
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} |