# Copyright 2007, 2009, 2010 Kevin Ryde # This file is part of Chart. # # Chart is free software; you can redistribute it and/or modify it under the # terms of the GNU General Public License as published by the Free Software # Foundation; either version 3, or (at your option) any later version. # # Chart is distributed in the hope that it will be useful, but WITHOUT ANY # WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS # FOR A PARTICULAR PURPOSE. See the GNU General Public License for more # details. # # You should have received a copy of the GNU General Public License along # with Chart. If not, see . package App::Chart::Series::Derived::REMA; use 5.010; use strict; use warnings; use Carp; use Locale::TextDomain 1.17; # for __p() use Locale::TextDomain ('App-Chart'); use Math::Trig (); use base 'App::Chart::Series::Indicator'; use App::Chart::Series::Derived::EMA; # http://www.traders.com/Documentation/FEEDbk_docs/Archive/072003/Abstracts_new/Satchwell/satchwell.html # Start of TASC August 2003 article by Chris Satchwell. # # http://www.traders.com/Documentation/FEEDbk_docs/Archive/072003/TradersTips/TradersTips.html # TASC Traders' Tips August 2003, regularization formulas. # # http://www.traders.com/Documentation/FEEDbk_docs/Archive/092003/Letters/Letters.html # TASC letters September 2003, Chris Satchwell clarifying derivation of # formula. # # http://www.equis.com/Customer/Resources/TASC/Article.aspx?Id=50 # Metastock code for regularized EMA and regularized momentum. # # http://trader.online.pl/ELZ/t-i-Regularization.html # Easylanguage code, copy of trader's tips. # sub longname { __('REMA - Regularized EMA') } sub shortname { __('REMA') } sub manual { __p('manual-node','Regularized Exponential Moving Average') } use constant { type => 'average', parameter_info => [ { name => __('Days'), key => 'rema_days', type => 'integer', minimum => 1, default => 21 }, { name => __('Days'), key => 'rema_lambda', type => 'float', decimals => 1, minimum => 0, default => 0.5, step => 0.1 }], }; sub new { my ($class, $parent, $N, $lambda) = @_; $N //= parameter_info()->[0]->{'default'}; ($N > 0) || croak "REMA bad N: $N"; $lambda //= parameter_info()->[1]->{'default'}; return $class->SUPER::new (parent => $parent, parameters => [ $N, $lambda ], arrays => { values => [] }, array_aliases => { }); } # A REMA is in theory influenced by all preceding data, but warmup_count() # is designed to determine a warmup count. After calling $proc with # warmup_count() many values, the next call will have an omitted weight of # no more than 0.1% of the total. Omitting 0.1% should be negligable, # unless past values are ridiculously bigger than recent ones. # # FIXME: probably shorter than the full EMA when lambda > 0 # sub warmup_count { my ($class_or_self, $N, $lambda) = @_; return 2 * App::Chart::Series::Derived::EMA->warmup_count ($N / $lambda); } # The formula # # Rprev * (2L+1) + alpha*(close - Rprev) - L*Rprevprev # REMA = ---------------------------------------------------- # L+1 # # is turned into the followering, in the style of the AmiBroker code in # Trader's Tips above, # # a*close + b*Rprev + c*Rprevprev # REMA = ------------------------------- # L+1 # # with constants # # alpha 2*L+1-alpha -L # a = ----- b = ----------- c = --- # L+1 L+1 L+1 # sub proc { my ($class, $N, $lambda) = @_; my $alpha = App::Chart::Series::Derived::EMA::N_to_alpha ($N); my $den = $lambda + 1; my $a = $alpha / $den; my $b = (2*$lambda + 1 - $alpha) / $den; my $c = -$lambda / $den; my $rP = 0; my $rP_weight = 0; my $rPP = 0; my $rPP_weight = 0; return sub { my ($value) = @_; my $r = $a*$value + $b*$rP + $c*$rPP; my $r_weight = $a + $b*$rP_weight + $c*$rPP_weight; $rPP = $rP; $rPP_weight = $rP_weight; $rP = $r; $rP_weight = $r_weight; return $r / $r_weight; }; } 1; __END__ # =head1 NAME # # App::Chart::Series::Derived::REMA -- Regularized exponential moving average # # =head1 SYNOPSIS # # my $series = $parent->REMA($N); # # =head1 DESCRIPTION # # ... # # =head1 SEE ALSO # # L, L # # =cut