Moving Averages Proxy

19 Sep 2022

Library "MovingAveragesProxy"
Moving Averages Proxy - Library of all moving averages spread out in different libraries

rvwap(_src, fixedTfInput, minsInput, hoursInput, daysInput, minBarsInput)
  Calculates the Rolling VWAP (customized VWAP developed by the team of TradingView)
  Parameters:
    _src: (float) Source. Default: close
    fixedTfInput: (bool) Use a fixed time period. Default: false
    minsInput: (int) Minutes. Default: 0
    hoursInput: (int) Hours. Default: 0
    daysInput: (int) Days. Default: 1
    minBarsInput: (int) Bars. Default: 10
  Returns: (float) Rolling VWAP

correlationMa(src, len, factor)
  Correlation Moving Average
  Parameters:
    src: (float) Source. Default: close
    len: (int) Length
    factor: (float) Factor. Default: 1.7
  Returns: (float) Correlation Moving Average

regma(src, len, lambda)
  Regularized Exponential Moving Average
  Parameters:
    src: (float) Source. Default: close
    len: (int) Length
    lambda: (float) Lambda. Default: 0.5
  Returns: (float) Regularized Exponential Moving Average

repma(src, len)
  Repulsion Moving Average
  Parameters:
    src: (float) Source. Default: close
    len: (int) Length
  Returns: (float) Repulsion Moving Average

epma(src, length, offset)
  End Point Moving Average
  Parameters:
    src: (float) Source. Default: close
    length: (int) Length
    offset: (float) Offset. Default: 4
  Returns: (float) End Point Moving Average

lc_lsma(src, length)
  1LC-LSMA (1 line code lsma with 3 functions)
  Parameters:
    src: (float) Source. Default: close
    length: (int) Length
  Returns: (float) 1LC-LSMA Moving Average

aarma(src, length)
  Adaptive Autonomous Recursive Moving Average
  Parameters:
    src: (float) Source. Default: close
    length: (int) Length
  Returns: (float) Adaptive Autonomous Recursive Moving Average

alsma(src, length)
  Adaptive Least Squares
  Parameters:
    src: (float) Source. Default: close
    length: (int) Length
  Returns: (float) Adaptive Least Squares

ahma(src, length)
  Ahrens Moving Average
  Parameters:
    src: (float) Source. Default: close
    length: (int) Length
  Returns: (float) Ahrens Moving Average

adema(src)
  Ahrens Moving Average
  Parameters:
    src: (float) Source. Default: close
  Returns: (float) Moving Average

autol(src, lenDev)
  Auto-Line
  Parameters:
    src: (float) Source. Default: close
    lenDev: (int) Length for standard deviation
  Returns: (float) Auto-Line

fibowma(src, length)
  Fibonacci Weighted Moving Average
  Parameters:
    src: (float) Source. Default: close
    length: (int) Length
  Returns: (float) Moving Average

fisherlsma(src, length)
  Fisher Least Squares Moving Average
  Parameters:
    src: (float) Source. Default: close
    length: (int) Length
  Returns: (float) Moving Average

leoma(src, length)
  Leo Moving Average
  Parameters:
    src: (float) Source. Default: close
    length: (int) Length
  Returns: (float) Moving Average

linwma(src, period, weight)
  Linear Weighted Moving Average
  Parameters:
    src: (float) Source. Default: close
    period: (int) Length
    weight: (int) Weight
  Returns: (float) Moving Average

mcma(src, length)
  McNicholl Moving Average
  Parameters:
    src: (float) Source. Default: close
    length: (int) Length
  Returns: (float) Moving Average

srwma(src, length)
  Square Root Weighted Moving Average
  Parameters:
    src: (float) Source. Default: close
    length: (int) Length
  Returns: (float) Moving Average

EDSMA(src, len)
  Ehlers Dynamic Smoothed Moving Average.
  Parameters:
    src: Series to use ('close' is used if no argument is supplied).
    len: Lookback length to use.
  Returns: EDSMA smoothing.

dema(x, t)
  Double Exponential Moving Average.
  Parameters:
    x: Series to use ('close' is used if no argument is supplied).
    t: Lookback length to use.
  Returns: DEMA smoothing.

tema(src, len)
  Triple Exponential Moving Average.
  Parameters:
    src: Series to use ('close' is used if no argument is supplied).
    len: Lookback length to use.
  Returns: TEMA smoothing.

smma(src, len)
  Smoothed Moving Average.
  Parameters:
    src: Series to use ('close' is used if no argument is supplied).
    len: Lookback length to use.
  Returns: SMMA smoothing.

hullma(src, len)
  Hull Moving Average.
  Parameters:
    src: Series to use ('close' is used if no argument is supplied).
    len: Lookback length to use.
  Returns: Hull smoothing.

frama(x, t)
  Fractal Reactive Moving Average.
  Parameters:
    x: Series to use ('close' is used if no argument is supplied).
    t: Lookback length to use.
  Returns: FRAMA smoothing.

kama(x, t)
  Kaufman's Adaptive Moving Average.
  Parameters:
    x: Series to use ('close' is used if no argument is supplied).
    t: Lookback length to use.
  Returns: KAMA smoothing.

vama(src, len)
  Volatility Adjusted Moving Average.
  Parameters:
    src: Series to use ('close' is used if no argument is supplied).
    len: Lookback length to use.
  Returns: VAMA smoothing.

donchian(len)
  Donchian Calculation.
  Parameters:
    len: Lookback length to use.
  Returns: Average of the highest price and the lowest price for the specified look-back period.

Jurik(src, len)
  Jurik Moving Average.
  Parameters:
    src: Series to use ('close' is used if no argument is supplied).
    len: Lookback length to use.
  Returns: JMA smoothing.

xema(src, len)
  Optimized Exponential Moving Average.
  Parameters:
    src: Series to use ('close' is used if no argument is supplied).
    len: Lookback length to use.
  Returns: XEMA smoothing.

ehma(src, len)
  EHMA - Exponential Hull Moving Average
  Parameters:
    src: Source
    len: Period
  Returns: Exponential Hull Moving Average (EHMA)

covwema(src, len)
  Coefficient of Variation Weighted Exponential Moving Average (COVWEMA)
  Parameters:
    src: Source
    len: Period
  Returns: Coefficient of Variation Weighted Exponential Moving Average (COVWEMA)

covwma(src, len)
  Coefficient of Variation Weighted Moving Average (COVWMA)
  Parameters:
    src: Source
    len: Period
  Returns: Coefficient of Variation Weighted Moving Average (COVWMA)

eframa(src, len, FC, SC)
  Ehlrs Modified Fractal Adaptive Moving Average (EFRAMA)
  Parameters:
    src: Source
    len: Period
    FC: Lower Shift Limit for Ehlrs Modified Fractal Adaptive Moving Average
    SC: Upper Shift Limit for Ehlrs Modified Fractal Adaptive Moving Average
  Returns: Ehlrs Modified Fractal Adaptive Moving Average (EFRAMA)

etma(src, len)
  Exponential Triangular Moving Average (ETMA)
  Parameters:
    src: Source
    len: Period
  Returns: Exponential Triangular Moving Average (ETMA)

rma(src, len)
  RMA - RSI Moving average
  Parameters:
    src: Source
    len: Period
  Returns: RSI Moving average (RMA)

thma(src, len)
  THMA - Triple Hull Moving Average
  Parameters:
    src: Source
    len: Period
  Returns: Triple Hull Moving Average (THMA)

vidya(src, len)
  Variable Index Dynamic Average (VIDYA)
  Parameters:
    src: Source
    len: Period
  Returns: Variable Index Dynamic Average (VIDYA)

zsma(src, len)
  Zero-Lag Simple Moving Average (ZSMA)
  Parameters:
    src: Source
    len: Period
  Returns: Zero-Lag Simple Moving Average (ZSMA)

zema(src, len)
  Zero-Lag Exponential Moving Average (ZEMA)
  Parameters:
    src: Source
    len: Period
  Returns: Zero-Lag Exponential Moving Average (ZEMA)

evwma(src, len)
  EVWMA - Elastic Volume Weighted Moving Average
  Parameters:
    src: Source
    len: Period
  Returns: Elastic Volume Weighted Moving Average (EVWMA)

tt3(src, len, a1_t3)
  Tillson T3
  Parameters:
    src: Source
    len: Period
    a1_t3: Tillson T3 Volume Factor
  Returns: Tillson T3

gma(src, len)
  GMA - Geometric Moving Average
  Parameters:
    src: Source
    len: Period
  Returns: Geometric Moving Average (GMA)

wwma(src, len)
  WWMA - Welles Wilder Moving Average
  Parameters:
    src: Source
    len: Period
  Returns: Welles Wilder Moving Average (WWMA)

cma(src, len)
  Corrective Moving average (CMA)
  Parameters:
    src: Source
    len: Period
  Returns: Corrective Moving average (CMA)

edma(src, len)
  Exponentially Deviating Moving Average (MZ EDMA)
  Parameters:
    src: Source
    len: Period
  Returns: Exponentially Deviating Moving Average (MZ EDMA)

rema(src, len)
  Range EMA (REMA)
  Parameters:
    src: Source
    len: Period
  Returns: Range EMA (REMA)

sw_ma(src, len)
  Sine-Weighted Moving Average (SW-MA)
  Parameters:
    src: Source
    len: Period
  Returns: Sine-Weighted Moving Average (SW-MA)

mama(src, len)
  MAMA - MESA Adaptive Moving Average
  Parameters:
    src: Source
    len: Period
  Returns: MESA Adaptive Moving Average (MAMA)

fama(src, len)
  FAMA - Following Adaptive Moving Average
  Parameters:
    src: Source
    len: Period
  Returns: Following Adaptive Moving Average (FAMA)

hkama(src, len)
  HKAMA - Hilbert based Kaufman's Adaptive Moving Average
  Parameters:
    src: Source
    len: Period
  Returns: Hilbert based Kaufman's Adaptive Moving Average (HKAMA)

getMovingAverage(type, src, len, lsmaOffset, inputAlmaOffset, inputAlmaSigma, FC, SC, a1_t3, fixedTfInput, daysInput, hoursInput, minsInput, minBarsInput, lambda, volumeWeighted, gamma_aarma, smooth, linweight, volatility_lookback, jurik_phase, jurik_power)
  Abstract proxy function that invokes the calculation of a moving average according to type
  Parameters:
    type: (string) Type of moving average
    src: (float) Source of series (close, high, low, etc.)
    len: (int) Period of loopback to calculate the average
    lsmaOffset: (int) Offset for Least Squares MA
    inputAlmaOffset: (float) Offset for ALMA
    inputAlmaSigma: (float) Sigma for ALMA
    FC: (int) Lower Shift Limit for Ehlrs Modified Fractal Adaptive Moving Average
    SC: (int) Upper Shift Limit for Ehlrs Modified Fractal Adaptive Moving Average
    a1_t3: (float) Tillson T3 Volume Factor
    fixedTfInput: (bool) Use a fixed time period in Rolling VWAP
    daysInput: (int) Days in Rolling VWAP
    hoursInput: (int) Hours in Rolling VWAP
    minsInput: (int) Minutrs in Rolling VWAP
    minBarsInput: (int) Bars in Rolling VWAP
    lambda: (float) Regularization Constant in Regularized EMA
    volumeWeighted: (bool) Apply volume weighted calculation in selected moving average
    gamma_aarma: (float) Gamma for Adaptive Autonomous Recursive Moving Average
    smooth: (float) Smooth for Adaptive Least Squares
    linweight: (float) Weight for Volume Weighted Moving Average
    volatility_lookback: (int) Loopback for Volatility Adjusted Moving Average
    jurik_phase: (int) Phase for Jurik Moving Average
    jurik_power: (int) Power for Jurik Moving Average
  Returns: (float) Moving average

5 Jan 2023

Catatan Rilis

v2

Added:
donchianHighLow(len, bands)
  Donchian Calculation with extra parameters.
Originally, the average of the Donchian channel is obtained by adding the tops with the bottoms and dividing the value by 2.
Here this divisor can be customized, not being limited to 2.
Also, in this version the high is caught from the high and the low from low, rather than close
  Parameters:
    len: Lookback length to use.
    bands: Divisor. Default is 2.
  Returns: Average of the highest price and the lowest price for the specified look-back period.

Updated:
getMovingAverage(type, src, len, lsmaOffset, inputAlmaOffset, inputAlmaSigma, FC, SC, a1_t3, fixedTfInput, daysInput, hoursInput, minsInput, minBarsInput, lambda, factor, offset_epma, volumeWeighted, gamma_aarma, smooth, linweight, volatility_lookback, jurik_phase, jurik_power, donchianBands)
  Abstract proxy function that invokes the calculation of a moving average according to type
  Parameters:
    type: (string) Type of moving average
    src: (float) Source of series (close, high, low, etc.)
    len: (int) Period of loopback to calculate the average
    lsmaOffset: (int) Offset for Least Squares MA
    inputAlmaOffset: (float) Offset for ALMA
    inputAlmaSigma: (float) Sigma for ALMA
    FC: (int) Lower Shift Limit for Ehlrs Modified Fractal Adaptive Moving Average
    SC: (int) Upper Shift Limit for Ehlrs Modified Fractal Adaptive Moving Average
    a1_t3: (float) Tillson T3 Volume Factor
    fixedTfInput: (bool) Use a fixed time period in Rolling VWAP
    daysInput: (int) Days in Rolling VWAP
    hoursInput: (int) Hours in Rolling VWAP
    minsInput: (int) Minutrs in Rolling VWAP
    minBarsInput: (int) Bars in Rolling VWAP
    lambda: (float) Regularization Constant in Regularized EMA
    factor
    offset_epma
    volumeWeighted: (bool) Apply volume weighted calculation in selected moving average
    gamma_aarma: (float) Gamma for Adaptive Autonomous Recursive Moving Average
    smooth: (float) Smooth for Adaptive Least Squares
    linweight: (float) Weight for Volume Weighted Moving Average
    volatility_lookback: (int) Loopback for Volatility Adjusted Moving Average
    jurik_phase: (int) Phase for Jurik Moving Average
    jurik_power: (int) Power for Jurik Moving Average
    donchianBands
  Returns: (float) Moving average

13 Apr 2023

Catatan Rilis

v3
New parameter for VWAP:
anchor (bool): (bool) The condition that triggers the reset of VWAP calculations.
When true, calculations reset; when false, calculations proceed using the values
accumulated since the previous reset. Optional. The default is equivalent to passing
timeframe.change with "1D" as its argument.

17 Sep

Catatan Rilis

v4
Code refactored to improve performance. The improvement in speed can be as much as 50% or more.

So now, to identify the type of moving average, the getMovingAverage function accepts a number (key) corresponding to each type.

The table of keys is in the comment at the beginning of the source code.

The obvious reason is that the integer data type takes up less memory than the string type.

In addition, the getMovingAverageVolume function was created, which works exactly like getMovingAverage, except that it uses the volume (when applicable).

This reduced the number of IFs, reducing the processing required for each situation.