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Miha Kralj
d493bfd42f
- Updated Bessel, Bilateral, Blma, Butter, Conv, Ema, Kama, LSMA, MAMA, MGDI, SSF, USF, ATR, ADL, and ADOSC documentation to use bullet points for key concepts and features. - Added a new Qodana configuration file for code analysis. - Removed coverage configuration from Quantower.Tests.csproj to streamline testing setup.
1.7 KiB
1.7 KiB
Moving Average Envelope
Moving Average Envelope consists of three lines: a moving average in the middle and two lines plotted at a fixed percentage above and below it. The envelope provides a simple way to identify potential support and resistance levels based on a percentage deviation from the average price.
Calculation
Middle = MA(Source, Length)
Upper = Middle + (Middle × Percentage/100)
Lower = Middle - (Middle × Percentage/100)
Where:
- MA = Moving Average (can be SMA, EMA, or WMA)
- Source = Price series (typically close price)
- Length = Lookback period for moving average
- Percentage = Fixed percentage for band width
Parameters
- Source (default: close) - Price series used for the moving average
- Length (default: 20) - Period used for moving average calculation
- Percentage (default: 1.0) - Fixed percentage distance from MA to bands
- MA Type (default: 1) - Moving average type: 0:SMA, 1:EMA, or 2:WMA
Interpretation
- The middle line shows the average price trend
- Upper and lower bands create a channel based on fixed percentage
- Price reaching the bands may indicate overbought/oversold conditions
- Unlike volatility-based bands, envelope width changes proportionally with price
- Band penetration may signal potential trend reversals
- Works best in trending markets with consistent volatility
Implementation
The implementation includes:
- Choice of three moving average types (SMA, EMA, WMA)
- Optimized calculations for each MA type
- Circular buffer for efficient SMA calculation
- Alpha smoothing for EMA
- Linear weighting for WMA
- Proper handling of NA values
- Input validation
- Percentage-based band width calculation