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Moving Average Indicator: 20 in 1

Source: https://fxcodebase.com/code/viewtopic.php?f=38&t=66845
Forum: 38 · Topic 66845 · 1 post(s)

Moving Average Indicator: 20 in 1

Apprentice · Fri Oct 19, 2018 9:17 am

eurusd-m5-forex-capital-markets.png

Based on TS2/Lua version. viewtopic.php?f=17&t=2430 This indicator is a collection of moving averages.

  1. MVA - Simple Moving Average MVA[i]=(Price[i]+Price[i-1]+…+Price[i-N])/N, where N-period

  2. EMA - Exponential Moving Average EMA[i]=EMA[i-1]+2*(Price[i]-EMA[i-1])/(1+N)

  3. Wilder - Wilder Exponential Moving Average Wilder[i]=Wilder[i-1]+(Price[i]-Wilder[i-1])/N

  4. LWMA - Linear Weighted Moving Average LWMA[i]=Sum/Weight, where Sum=Price[i]N+Price[i-1](N-1)+…+Price[i-N+1](1), Weight=N+(N-1)+…+1=N(N+1)/2.

  5. SineWMA - Sine Weighted Moving Average SineWMA[i]=Sum/Weight, where Sum=Price[i-N+1]sin(PI(N)/(N+1))+Price[i-N+2]sin(PI(N-1)/(N+1))+…+Price[i]sin(PI1/(N+1)) Weight= sin(PI(N)/(N+1))+ sin(PI(N-1)/(N+1))+…+ sin(PI*1/(N+1)).

  6. TriMA - Triangular Moving Average TriMA[i]=(MVA(i,len)+MVA(i-1,len)+…+MVA(i-len+1,len))/len, where MVA(i,N) – Simple Moving Average, len=(N+1)/2.

  7. LSMA - Least Square Moving Average LSMA[i]=Sum/(N(N+1)), where Sum=(1-(N+1)/3)Price[i-N+1]+(2-(N+1)/3)Price[i-N+2]+…+(N-(N+1)/3)Price[1].

  8. SMMA - Smoothed Moving Average SMMA[i]=(Sum-SMMA[i-1]+Price[i])/N, where Sum=Price[i-1]+Price[i-2]+…+Price[i-N].

  9. HMA - Hull Moving Average by Alan Hull HMA[i]=LWMA(i,len,(2*LWMA(i,N/2,Price)-LWMA(i,N,Price))), where len=Sqrt(N), LWMA(i,N,Price) - Linear Weighted Moving Average

  10. ZeroLagEMA - Zero-Lag Exponential Moving Average ZeroLagEMA[i]=Alpha(2Price[i]-Price[i-lag])+(1-Alpha)* ZeroLagEMA[i-1], where Alpha=2/(N+1), Lag=(N-1)/2.

  11. DEMA - Double Exponential Moving Average by Patrick Mulloy DEMA[i]=2D1[i]-D2[i], where D1[i]=D1[i-1]+2(Price[i]-D1[i-1])/(1+N), D2[i]=D2[i-1]+2*(D1[i]-D2[i-1])/(1+N).

  12. T3 - T3 by T.Tillson T3[i]=DEMA(i,DEMA2), where DEMA2[i]=DEMA(i,DEMA1), DEMA1[i]=DEMA(i,Price), DEMA - Double Exponential Moving Average

  13. ITrend - Instantaneous Trendline by J.Ehlers ITrend[i]=(Price[i]+2Price[i-1]+Price[i-2])/4 for i<=7, ITrend[i]=(Alpha-0.25AlphaAlpha)Price[i]+0.5AlphaAlphaPrice[i-1]-(Alpha-0.75AlphaAlpha)Price[i-2]+2(1-Alpha)ITrend[i-1]-(1-Alpha)(1-Alpha)ITrend[i-2] for i>7, where Alpha=2/(N+1)

  14. Median - Moving Median Set of the prices (Price[i], Price[i-1], …, Price[i-N]) is sorted (on increase or decrease) and take value from of the set (N/2).

  15. GeoMean - Geometric Mean GeoMean[i]=Price[i]^(1/N)Price[i-1]^(1/N)…*Price[i-N+1]^(1/N).

  16. REMA - Regularized EMA by Chris Satchwell REMA[i]=(REMA[i-1](1+2Lambda)+Alpha(Price[i]-REMA[i-1])-LambdaREMA[i-2])/(1+Lambda), where Alpha=2/(N+1), Lambda=0.5.

  17. ILRS - Integral of Linear Regression Slope ILRS[i]=(NSum1-SumSumy)/(SumSum-NSum2)+MVA(I,N), where Sum=N(N-1)0.5, Sum2=N(N-1)(2N-1)/6, Sum1=1Price[i-1]+2Price[i-2]+…+(N-1)Price[i-N+1], Sumy=Price[i]+Price[i-1]+…+Price[i-N+1], MVA(i,N) – Simple Moving Average.

  18. IE/2 - Combination of LSMA and ILRS IE/2=(ILRS+LSMA)/2

  19. TriMAgen - Triangular Moving Average generalized by J.Ehlers TriMAgen[i]=Sum/(len+1), where Sum=MVA(i,len)+MVA(i-1,len)+…+MVA(i-len,len), where MVA(i,N) – Simple Moving Average, len=(N+1)/2.

  20. JSmooth - Smoothing by Mark Jurik JSmooth[i]=J5[i], where J5[i]=J5[i-1]+J4[i], J4[i]=(J3[i]-J5[i-1])(1-Alpha)(1-Alpha)+J4[i-1]AlphaAlpha, J3[i]=J1[i]+J2[i], J2[i]=(Price[i]-J1[i])(1-Alpha)+J2[i-1]Alpha, J1[i]=Price[i](1-Alpha)+J1[i-1]Alpha, Alpha=0.45N/(0.45(N-1)+2).

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