mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-14 08:38:04 +00:00
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.
72 lines
2.5 KiB
Plaintext
72 lines
2.5 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Zero-Lag Triple EMA (ZLTEMA)", "ZLTEMA", overlay=true)
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//@function Calculates ZLTEMA using zero-lag price and triple exponential smoothing with compensator
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//@doc https://github.com/mihakralj/pinescript/blob/main/indicators/trends_IIR/zltema.md
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//@param source Series to calculate ZLTEMA from
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//@param period Smoothing period
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//@param alpha Optional smoothing factor (overrides period if provided)
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//@returns ZLTEMA value with zero-lag effect applied
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//@optimized Uses lag compensation buffer and exponential warmup compensator on all three EMA stages for O(1) complexity
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zltema(series float source, simple int period=0, simple float alpha=0) =>
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if alpha <= 0 and period <= 0
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runtime.error("Alpha or period must be provided")
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float a1 = alpha > 0 ? alpha : 2.0 / (period + 1)
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float beta1 = 1.0 - a1
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float r = math.pow(1.0 / a1, 1.0 / 3.0)
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float a2 = a1 * r
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float a3 = a2 * r
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simple int lag = math.max(1, math.round((period - 1) / 2))
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var bool warmup = true
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var float e = 1.0
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var float ema1_raw = 0.0
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var float ema2_raw = 0.0
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var float ema3_raw = 0.0
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var float ema1 = na
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var float ema2 = na
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var float ema3 = na
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var priceBuffer = array.new<float>(lag + 1, na)
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if not na(source)
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if na(ema1)
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ema1 := source
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ema2 := source
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ema3 := source
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array.fill(priceBuffer, source)
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array.shift(priceBuffer)
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array.push(priceBuffer, source)
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float laggedPrice = nz(array.get(priceBuffer, 0), source)
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float signal = 2 * source - laggedPrice
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ema1_raw := a1 * (signal - ema1_raw) + ema1_raw
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if warmup
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e *= beta1
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float c = 1.0 / (1.0 - e)
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ema1 := c * ema1_raw
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ema2_raw := a2 * (ema1 - ema2_raw) + ema2_raw
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ema2 := c * ema2_raw
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ema3_raw := a3 * (ema2 - ema3_raw) + ema3_raw
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ema3 := c * ema3_raw
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warmup := e > 1e-10
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else
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ema1 := ema1_raw
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ema2_raw := a2 * (ema1 - ema2_raw) + ema2_raw
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ema2 := ema2_raw
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ema3_raw := a3 * (ema2 - ema3_raw) + ema3_raw
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ema3 := ema3_raw
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3 * ema1 - 3 * ema2 + ema3
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else
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na
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(10, "Period", minval=1)
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i_source = input.source(close, "Source")
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// Calculation
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zltema_value = zltema(i_source, i_period)
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// Plot
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plot(zltema_value, "ZLTEMA", color=color.yellow, linewidth=2)
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