# Copyright 2008, 2009, 2010, 2011 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::TMA; 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::Calculation; use App::Chart::Series::Derived::SMA; use constant DEBUG => 0; # http://www.linnsoft.com/tour/techind/movAvg.htm # Formula, and sample TMA N=20 on Nasdaq 100 (symbol QQQ, yahoo now in # ^IXIC) from 2001. # sub longname { __('TMA - Triangular MA') } sub shortname { __('TMA') } sub manual { __p('manual-node','Triangular Moving Average') } use constant { priority => -10, type => 'average', parameter_info => [ { name => __('Days'), key => 'tma_days', type => 'integer', minimum => 1, default => 20 } ], }; sub new { my ($class, $parent, $N) = @_; ### TMA new(): @_ $N //= $class->parameter_info->[0]->{'default'}; ($N > 0) || croak "TMA bad N: $N"; return $class->SUPER::new (parent => $parent, parameters => [ $N ], arrays => { values => [] }, array_aliases => { }); } *warmup_count = \&App::Chart::Series::Derived::SMA::warmup_count; # $N-1 sub proc { my ($self_or_class, $N) = @_; # eg. N=5 gives 1, 2, 3, 2, 1 # eg. N=6 gives 1, 2, 3, 3, 2, 1 return App::Chart::Series::Calculation::ma_proc_by_weights (1 .. int($N/2), (reverse 1 .. int(($N+1)/2))); } 1; __END__ # =head1 NAME # # App::Chart::Series::Derived::TMA -- triangular moving average # # =head1 SYNOPSIS # # my $series = $parent->TMA($N); # # =head1 DESCRIPTION # # ... # # =head1 SEE ALSO # # L, L, # L # # =cut # Old stuff done with a adjusting totals instead of vector product each time # ... # # (define-public (tma-calc-proc count) # # ;; FACTORS is the weight factors, like '(1 2 3 2 1), stepped along to # ;; build the divisor while the window isn't yet full # ;; # ;; DATA is a circular list of the accumulated window # ;; # ;; TOTAL is the sum of the DATA values with weighting factors applied # ;; # ;; STEP is how much to add to TOTAL to adjust for moving the DATA one # ;; place along # ;; # ;; F-DATA and C-DATA are positions in DATA where the value stops adding # ;; and starts subtracting, as it reaches its peak weighting then # ;; starts decreasing # ;; # (let* ((c-count (quotient (1+ count) 2)) ;; ceil(N/2) # (factors (tma-factors count)) # (div-min (ceiling-exact (* indicator-minimum-fraction # (apply + factors)))) # (div 0) # (total 0) # (step 0) # (data (make-circular-list count #f)) # (f-data (list-cdr-ref data c-count)) ;; measured from other end # (c-data (if (odd? count) # f-data # (cdr f-data)))) # # (lambda (x) # ;; shift up past points, and add in new point # (set! total (+ total step x)) # (set! step (+ step x)) # # (if (car data) # ;; window full, drop oldest point out of stepping # (set! step (+ step (car data))) # # ;; window not yet full, increase divisor for new point # (begin # (set! div (+ div (first factors))) # (set! factors (cdr factors)))) # # ;; replace oldest point with new point # (set-car! data x) # (set! data (cdr data)) # # ;; at floor(N/2) point stops adding # (if (car f-data) # (set! step (- step (car f-data)))) # (set! f-data (cdr f-data)) # # ;; at ceil(N/2) point starts subtracting # (if (car c-data) # (set! step (- step (car c-data)))) # (set! c-data (cdr c-data)) # # (and (>= div div-min) # (exact->inexact (/ total div))))))