/// <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 }