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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
35 lines
973 B
Plaintext
35 lines
973 B
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Cumulative Moving Average", "CMA", overlay=true)
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//@function Calculates Cumulative Moving Average (Running Average / Cumulative Mean)
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//@doc Calculates the arithmetic mean of ALL data points seen so far.
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//@doc Uses Welford's algorithm for numerical stability, O(1) per update.
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//@param source Series to calculate CMA from
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//@returns CMA value - running mean of all historical values
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cma(series float source) =>
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// Persistent state
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var float mean = 0.0
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var int count = 0
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float val = nz(source, mean)
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count += 1
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// Welford's algorithm: M_n = M_(n-1) + alpha * (x_n - M_(n-1))
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float alpha = 1.0 / count
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float delta = val - mean
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mean := mean + alpha * delta
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mean
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(close, "Source")
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// Calculation
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cma_value = cma(i_source)
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// Plot
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plot(cma_value, "CMA", color=color.yellow, linewidth=2) |