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Averages Functions Include for Amibroker (AFL)
demon
over 13 years ago
Amibroker (AFL)

Rating:
3 / 5 (Votes 2)
Tags:
amibroker, moving average, function

This is a number of functions for various Moving Averages that is not native to glorious Amibroker to be used as include file for yor purposes. If you have improvements just post and we ask administration to update script with new MAs.
This is done to collect extensive set of libraries for easier programming.

Credited to various authors among the net (appreciate you work, even if don’t bother of your names) and me myself.

Actually I’m looking for adding more complicated smoothers as Kalman Filters, Laguerre and other.

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Indicator / Formula

Copy & Paste Friendly
/* Elastic Volume Weighted Moving Average by Christian B. Fries */
function eVWMA(array, N)
{
  result[0] = array[0];
  for (i = 1; i < BarCount; i++) 
  {
    result[i] = ((N - Volume[i]) * result[i - 1] + Volume[i] * array[i]) / N;
  }
  return result;
}

/* Hull Moving Average */
function HMA(array, period)
{
  return WMA(2 * WMA(array, int(period / 2)) - WMA(array, period), int(sqrt(period)));
}

/* Kaufmann Adaptive Moving Average */
function KAMA(array, period)
{
  Direction = array - Ref(array, -period);
  Volatility = Sum(abs(array - Ref(array, -1)), period);
  Volatility = IIf(Volatility > 0, Volatility, 0.00001);
  ER = abs(Direction / Volatility);
  FastSC = 2 / (2 + 1);
  SlowSC = 2 / (30 + 1);
  SSC = ER * (FastSC - SlowSC) + SlowSC;
  Constant = SSC^2;
  return AMA(array, Constant);
}

/* Tilson's T3 */
function T3(array, period)
{
  s = 0.84;
  e1 = EMA(array, period);
  e2 = EMA(e1, period);
  e3 = EMA(e2, period);
  e4 = EMA(e3, period);
  e5 = EMA(e4, period);
  e6 = EMA(e5, period);
  c1 = -s^3;
  c2 = 3*s^2+3*s^3;
  c3 = -6*s^2 - 3*s - 3*s^3;
  c4 = 1 + 3*s + s^3 + 3*s^2;
  return c1 * e6 + c2 * e5 + c3 * e4 + c4*e3;
}

/* SMMA - Smoothed Moving Average */
function SMMA(array, period)
{
  SetBarsRequired(1000, 0);
  
  fsum = 0;
  for (i = 0; i < period; i++)
  {
    result[i] = Null;
    fsum += array[i];
  }
  result[period] = fsum / period;

  for (i = period + 1; i < BarCount; i++) 
  {
    result[i] = (result[i - 1] * period - result[i - 1] + array[i]) / period;
  }
  return result;
}

/* Sine Weighted Moving Average */
function SWMA(array, period)
{
  SetBarsRequired(1000, 0);
    
  PI = 4 * atan(1);
  k = PI / (period + 1);

  // denominator
  den = 0;
  for (i = 1; i <= period; i++) den += sin(i * k);
  
  for (i = 0; i < period - 1; i++) result[i] = Null;
  for (i = period - 1; i < BarCount; i++) 
  { 
    nom = 0;
    for (j = 1; j <= period; j++) nom += sin(j * k) * array[i - period + j];
    
    result[i] = nom / den;
  }

  return result;
}

// Triangular Moving Average
function TMA(array, period)
{
  if ((period % 2) > 0)
  { 
    // odd
    Coef1 = (period + 1) /2;
    Coef2 = Coef1;
  }
  else
  {
    // even
    Coef1 = period / 2 + 1;
    Coef2 = period / 2;
  }
  
  return MA(MA(array, Coef1), Coef2);
}

/* Volume Weighted Moving Average */
function VWMA(array, period)
{
  return MA(Volume * array, period) / MA(Volume, period);
}

1 comments

1. empottasch

nice thanks

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