/// <summary>
/// the Holt trend-adjusted EMA [email protected]
/// </summary>
/// <returns></returns>
public HoltEMA HoltEMA(Data.IDataSeries input, double alpha, double gamma)
{
if (cacheHoltEMA != null)
{
for (int idx = 0; idx < cacheHoltEMA.Length; idx++)
{
if (Math.Abs(cacheHoltEMA[idx].Alpha - alpha) <= double.Epsilon && Math.Abs(cacheHoltEMA[idx].Gamma - gamma) <= double.Epsilon && cacheHoltEMA[idx].EqualsInput(input))
{
return(cacheHoltEMA[idx]);
}
}
}
lock (checkHoltEMA)
{
checkHoltEMA.Alpha = alpha;
alpha = checkHoltEMA.Alpha;
checkHoltEMA.Gamma = gamma;
gamma = checkHoltEMA.Gamma;
if (cacheHoltEMA != null)
{
for (int idx = 0; idx < cacheHoltEMA.Length; idx++)
{
if (Math.Abs(cacheHoltEMA[idx].Alpha - alpha) <= double.Epsilon && Math.Abs(cacheHoltEMA[idx].Gamma - gamma) <= double.Epsilon && cacheHoltEMA[idx].EqualsInput(input))
{
return(cacheHoltEMA[idx]);
}
}
}
HoltEMA indicator = new HoltEMA();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
#if NT7
indicator.ForceMaximumBarsLookBack256 = ForceMaximumBarsLookBack256;
indicator.MaximumBarsLookBack = MaximumBarsLookBack;
#endif
indicator.Input = input;
indicator.Alpha = alpha;
indicator.Gamma = gamma;
Indicators.Add(indicator);
indicator.SetUp();
HoltEMA[] tmp = new HoltEMA[cacheHoltEMA == null ? 1 : cacheHoltEMA.Length + 1];
if (cacheHoltEMA != null)
{
cacheHoltEMA.CopyTo(tmp, 0);
}
tmp[tmp.Length - 1] = indicator;
cacheHoltEMA = tmp;
return(indicator);
}
}
/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{
// http://www2.gsu.edu/~dscthw/8110/Chapter8.pdf
double alpha = 2.0 / (1 + Period);
double gamma = 2.0 / (1 + TrendPeriod);
if (CurrentBar == 0)
{
HoltEMA.Set(Input[0]);
trend.Set(0.0);
return;
}
double holt = alpha * Input[0] + (1 - alpha) * (HoltEMA[1] + trend[1]);
HoltEMA.Set(holt);
trend.Set(gamma * (holt - HoltEMA[1]) + (1 - gamma) * trend[1]);
}