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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
c034cbd5e5
- Introduced YZV class for calculating Yang-Zhang Volatility, a comprehensive volatility measure that incorporates overnight, open-to-close, and high-low components. - Implemented calculation methods, including batch processing for TBarSeries and spans. - Added documentation for YZV, detailing its mathematical foundation, performance profile, and trading applications. - Updated volume index documentation to reflect changes in file paths. - Refactored VWMA calculation method to use a more generic source parameter instead of price.
2.2 KiB
2.2 KiB
Trends (FIR)
"FIR filters are always stable. The question is how many coefficients you need." Digital Signal Processing folklore
Finite Impulse Response (FIR) trend indicators. These use fixed-length windows with explicit coefficients. No feedback loops, no recursion. Output depends only on current and past inputs. Always stable. Linear phase possible. SIMD-friendly batch computation.
Indicators
| Indicator | Full Name | Description |
|---|---|---|
| ALMA | Arnaud Legoux MA | Gaussian window with offset parameter. Smooth with configurable lag. |
| BLMA | Blackman MA | Blackman window. Excellent side-lobe suppression (-58 dB). |
| BWMA | Bessel-Weighted MA | Bessel window function. Good frequency resolution. |
| CONV | Convolution MA | Generic convolution with custom kernel. Building block for others. |
| DWMA | Double Weighted MA | WMA of WMA. Smoother than single WMA. Triangular-like response. |
| GWMA | Gaussian Weighted MA | Centered Gaussian bell curve. No overshoot. σ controls width. |
| HAMMA | Hamming MA | Hamming window. -43 dB side lobes. Good general purpose. |
| HANMA | Hanning MA | Hanning (raised cosine). Zero at edges. Smooth roll-off. |
| HMA | Hull MA | Reduced lag via weighted average differencing. Can overshoot. |
| HWMA | Holt-Winters MA | Triple exponential smoothing. Tracks level, velocity, acceleration. |
| LSMA | Least Squares MA | Linear regression endpoint. Extrapolates trend. |
| PWMA | Pascal Weighted MA | Pascal's triangle coefficients. Binomial distribution weights. |
| SGMA | Savitzky-Golay MA | Polynomial fit. Preserves higher moments. Shape-preserving. |
| SINEMA | Sine-Weighted MA | Sine wave weighting. Smooth bell-shaped emphasis. |
| SMA | Simple MA | Equal weights. Baseline reference. Lag = (N-1)/2. |
| TRIMA | Triangular MA | Triangular weights. SMA of SMA. Emphasizes middle. |
| WMA | Weighted MA | Linear weights. Recent prices weighted more. Lag < SMA. |