[Giankam] JMA (Jurik Moving Average)
stableDescription
Based on the original Jurik Moving Average http://jurikres.com/catalog1/ms_ama.htm this is one of the most sought after moving averages.
Due to the recursive logic it the code uses Pshai’s CC_IndicatorMemory.
Example:
local src = ClosePrices()
local length = 20
local phase = 0
local exp = 2
local jma= CC_IndicatorMemory(
|i, mem| CC_JMA(src, length, phase, exp))
Plot(0, 'JMA', jma, {color=White, width=4})
HaasScript
--- Author: Giankam
DefineCommand('JMA', 'Jurik Moving Average')
local src = DefineParameter(ListNumberType, 'source', 'Data source to transform', true, ClosePrices())
local period = DefineParameter(NumberType, 'period', 'JMA period', true, 14)
local phase = DefineParameter(NumberType, 'phase', 'JMA phase', true, 0) --range 1-199
local exp = DefineParameter(NumberType, 'exp', 'JMA exp', true, 2) --range 1-3
local jma = CC_IndicatorMemory(
function(i, mem)
local beta = (0.45 * ( period - 1 )) / ((0.45 * ( period - 1)) +2)
local alpha = Pow( beta, exp)
local phaseRatio = phase < -100 and 0.5 or ( phase > 100 and 2.5 or phase / 100 + 1.5)
if mem[1] == 0 then
mem = ArrayUnshift( mem, ArrayGet(src, 2))
mem = ArrayUnshift( mem, ArrayGet(src, 1))
end
local JMA = mem[1] or 0
local MA1 = CC_IndicatorMemory(
function(d, mem)
if mem[1] == 0 then
mem[1] = ArrayUnshift( mem, ArrayGet(src, 1))
end
local _MA1 = (1-alpha) * ArrayGet( src, 1) + alpha * mem[1]
return _MA1
end
)
local det0 = CC_IndicatorMemory(
function(j, mem)
local _Det0 = (ArrayGet( src, 1) - MA1[j]) * ( 1 - beta) + beta * mem[1]
return _Det0
end
)
local det1 = CC_IndicatorMemory(
function(d1, mem)
local MA2 = MA1 + phaseRatio * det0
local Det1 = (MA2 - JMA[i]) * (1-alpha)*(1-alpha) + (alpha*alpha * mem[1])
return Det1
end
)
JMA = mem[1] + det1
return JMA
end
)
DefineOutput(ListNumberType, jma)0 Comments
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