/// <summary>
/// Calculate Ehlers' Zero Lag Exponential Moving Average, as described here:
/// <see href="https://en.wikipedia.org/wiki/Zero_lag_exponential_moving_average"/>
/// </summary>
/// <param name="series">input time series</param>
/// <param name="period">averaging length</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>ZLEMA as time series</returns>
public static ITimeSeries <double> ZLEMA(this ITimeSeries <double> series, int period,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), period);
int lag = (int)Math.Round((period - 1.0) / 2.0);
return(series
.Add(
series
.Subtract(
series
.Delay(lag, cacheId),
cacheId),
cacheId)
.EMA(period, cacheId));
}
/// <summary>
/// Calculate logarithmic momentum: m = Ln(p[0] / p[n])
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">number of bars for regression</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>log momentum, as time series</returns>
public static ITimeSeries <double> LogMomentum(this ITimeSeries <double> series, int n = 21,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n.GetHashCode());
#if true
return(IndicatorsBasic.BufferedLambda(
prev => Math.Log(series[0] / series[n]),
0.0,
cacheId));
#else
// retired 04/02/2019
return(series
.Divide(series
.Delay(n, cacheId)
.Max(1e-10, cacheId),
cacheId)
.Log(cacheId)
.Divide(n, cacheId));
#endif
}
