by Alexander.Gettinger » Tue Jul 27, 2010 2:34 am
The indicator displays slope of Jurik Moving Average (the algorithm is published in
http://finance.groups.yahoo.com/group/TrendLaboratory
- Code: Select all
function Init()
indicator:name("JMA Slope");
indicator:description("JMA Slope");
indicator:requiredSource(core.Bar);
indicator:type(core.Oscillator);
indicator.parameters:addInteger("Length", "Length", "Length", 14);
indicator.parameters:addInteger("Phase", "Phase", "Phase", 0);
indicator.parameters:addColor("UPclr", "UP Color", "UP Color", core.rgb(0, 255, 0));
indicator.parameters:addColor("DNclr", "DN Color", "DN Color", core.rgb(255, 0, 0));
end
local first;
local source = nil;
local Length;
local Phase;
local buffUP
local buffDN;
local limitValue;
local StartValue;
local JMAValueBuffer;
local fC0Buffer;
local fA8Buffer;
local fC8Buffer;
local list={};
local ring2={};
local ring1={};
local buffer={};
local initFlag;
local lengthParam;
local phaseParam;
local logParam;
local sqrtParam;
local lengthDivider;
local loopParam;
local counterA;
local counterB;
local cycleLimit;
local cycleDelta;
local s68,s58=0;
local lowDValue;
local loopCriteria;
local s40=32;
local s38=96;
local dValue=1.;
function Prepare()
source = instance.source;
Length=instance.parameters.Length;
Phase=instance.parameters.Phase;
JMAValueBuffer = instance:addInternalStream(0, 0);
fC0Buffer = instance:addInternalStream(0, 0);
fA8Buffer = instance:addInternalStream(0, 0);
fC8Buffer = instance:addInternalStream(0, 0);
first = source:first()+2;
local name = profile:id() .. "(" .. source:name() .. ", " .. instance.parameters.Length .. ", " .. instance.parameters.Phase .. ")";
instance:name(name);
buffUP = instance:addStream("UP", core.Bar, name .. ".UP", "UP", instance.parameters.UPclr, first);
buffDN = instance:addStream("DN", core.Bar, name .. ".DN", "DN", instance.parameters.DNclr, first);
limitValue=63;
StartValue=64;
for i=0,limitValue,1 do
list[i]=-1000000;
end
for i=0,11,1 do
ring2[i]=0;
end
for i=StartValue,127,1 do
list[i]=1000000;
end
initFlag=true;
if Length<1.000000002 then
lengthParam=0.0000000001;
else
lengthParam=(Length-1)/2.;
end
if Phase<-100 then
phaseParam=0.5;
else
if Phase>100 then
phaseParam=2.5;
else
phaseParam=Phase/100.+1.5;
end
end
logParam=math.log(math.sqrt(lengthParam))/math.log(2.);
if logParam<-2 then
logParam=0.;
else
logParam=logParam+2.;
end
sqrtParam=math.sqrt(lengthParam)*logParam;
lengthParam =lengthParam*0.9;
lengthDivider=lengthParam/(lengthParam+2.);
loopParam=0;
counterA=0;
counterB=0;
cycleLimit=0;
cycleDelta=0;
lowDValue=0;
loopCriteria=0;
buffer[1]=0;
end
function Update(period, mode)
local paramA=0;
local paramB=0;
if (period>first) then
local series=source.close[period];
if loopParam<61 then
loopParam=loopParam+1;
buffer[loopParam]=series;
end
local highLimit=0;
if loopParam>30 then
if initFlag==true then
initFlag=false;
local diffFlag=0;
for i=1,29,1 do
if buffer[i+1]~=buffer[i] then
diffFlag=1;
end
end
highLimit=diffFlag*30;
if highLimit==0 then
paramB=series;
else
paramB=buffer[1];
end
paramA=paramB;
if highLimit>29 then
highLimit=29;
end
else
highLimit=0;
end
for j=0,highLimit,1 do
i=highLimit-j;
local sValue;
if i==0 then
sValue=series;
else
sValue=buffer[31-i];
end
local absValue;
if math.abs(sValue-paramA)>math.abs(sValue-paramB) then
absValue=math.abs(sValue-paramA);
else
absValue=math.abs(sValue-paramB);
end
local dValue=absValue+0.0000000001;
if counterA<=1 then
counterA=127;
else
counterA=counterA-1;
end
if counterB<=1 then
counterB=10;
else
counterB=counterB-1;
end
if cycleLimit<128 then
cycleLimit=cycleLimit+1;
end
cycleDelta=cycleDelta+dValue-ring2[counterB];
ring2[counterB]=dValue;
local highDValue;
if cycleLimit>10 then
highDValue=cycleDelta/10.;
else
highDValue=cycleDelta/cycleLimit;
end
if cycleLimit>127 then
dValue=ring1[counterA];
ring1[counterA]=highDValue;
s68=64;
s58=s68;
while s68>1 do
if list[s58]<dValue then
s68=s68/2.;
s58=s58+s68;
else
if list[s58]<=dValue then
s68=1;
else
s68=s68/2.;
s58=s58-s68;
end
end
end
else
ring1[counterA]=highDValue;
if limitValue+StartValue>127 then
StartValue=StartValue-1;
s58=StartValue;
else
limitValue=limitValue+1;
s58=limitValue;
end
if limitValue<=96 then
s38=limitValue;
end
if StartValue>=32 then
s40=StartValue;
end
end
s68=64;
s60=s68;
while s68>1 do
if list[s60]>=highDValue then
if list[s60-1]<=highDValue then
s68=1;
else
s68=s68/2.;
s60=s60-s68;
end
else
s68=s68/2.;
s60=s60+s68;
end
if s60==127 and highDValue>list[127] then
s60=128;
end
end
if cycleLimit>127 then
if s58>=s60 then
if s38+1>s60 and s40-1<s60 then
lowDValue=lowDValue+highDValue;
elseif s40>s60 and s40-1<s58 then
lowDValue=lowDValue+list[s40-1];
end
elseif s40>=s60 then
if s38+1<s60 and s38+1>s58 then
lowDValue=lowDValue+list[s38+1];
end
elseif s38+2>s60 then
lowDValue=lowDValue+highDValue;
elseif s38+1<s60 and s38+1>s58 then
lowDValue=lowDValue+list[s38+1];
end
if s58>s60 then
if s40-1<s58 and s38+1>s58 then
lowDValue=lowDValue-list[s58];
elseif s38<s58 and s38+1>s60 then
lowDValue=lowDValue-list[s38];
end
else
if s38+1>s58 and s40-1<s58 then
lowDValue=lowDValue-list[s58];
elseif s40>s58 and s40<s60 then
lowDValue=lowDValue-list[s40];
end
end
if s58<=s60 then
if s58>=s60 then
list[s60]=highDValue;
else
for jj=s58+1,s60-1,1 do
list[jj-1]=list[jj];
end
list[s60-1]=highDValue;
end
else
for jjj=s60,s58-1,1 do
jj=s58-1-jjj;
list[jj+1]=list[jj];
end
list[s60]=highDValue;
end
end
if cycleLimit<=127 then
lowDValue=0;
for jj=s40,s38,1 do
lowDValue=lowDValue+list[jj];
end
end
if loopCriteria+1>31 then
loopCriteria=31;
else
loopCriteria=loopCriteria+1;
end
local JMATempValue;
local sqrtDivider=sqrtParam/(sqrtParam+1);
if loopCriteria<=30 then
if sValue-paramA>0 then
paramA=sValue;
else
paramA=sValue-(sValue-paramA)*sqrtDivider;
end
if sValue-paramB<0 then
paramB=sValue;
else
paramB=sValue-(sValue-paramB)*sqrtDivider;
end
local JMATempValue=series;
if loopCriteria==30 then
fC0Buffer[period]=series;
local intPart;
if math.ceil(sqrtParam)>=1 then
intPart=math.ceil(sqrtParam);
else
intPart=1;
end
local leftInt;
if intPart>0 then
leftInt=math.floor(intPart);
else
leftInt=math.ceil(intPart);
end
if math.floor(sqrtParam)>=1 then
intPart=math.floor(sqrtParam);
else
intPart=1;
end
local rightPart;
if intPart>0 then
rightPart=math.floor(intPart);
else
rightPart=math.ceil(intPart);
end
local dValue;
if leftInt==rightPart then
dValue=1.;
else
dValue=(sqrtParam-rightPart)/(leftInt-rightPart);
end
local upShift;
local dnShift;
if rightPart<=29 then
upShift=rightPart;
else
upShift=29;
end
if leftInt<=29 then
dnShift=leftInt;
else
dnShift=29;
end
fA8Buffer[period]=(series-buffer[loopParam-upShift])*(1.-dValue)/rightPart+(series-buffer[loopParam-dnShift])*dValue/leftInt;
end
else
local powerValue;
local squareValue;
dValue=lowDValue/(s38-s40+1);
if 0.5<=logParam-2. then
powerValue=logParam-2.;
else
powerValue=0.5;
end
if logParam>=math.pow(absValue/dValue,powerValue) then
dValue=math.pow(absValue/dValue,powerValue);
else
dValue=logParam;
end
if dValue<1 then
dValue=1;
end
powerValue=math.pow(sqrtDivider,math.sqrt(dValue));
if sValue-paramA>0 then
paramA=sValue;
else
paramA=sValue-(sValue-paramA)*powerValue;
end
if sValue-paramB<0 then
paramB=sValue;
else
paramB=sValue-(sValue-paramB)*powerValue;
end
end
end
if loopCriteria>30 then
JMATempValue=JMAValueBuffer[period-1];
powerValue=math.pow(lengthDivider,dValue);
squareValue=math.pow(powerValue,2);
fC0Buffer[period]=(1.-powerValue)*series+powerValue*fC0Buffer[period-1];
fC8Buffer[period]=(series-fC0Buffer[period])*(1.-lengthDivider)+lengthDivider*fC8Buffer[period-1];
fA8Buffer[period]=(phaseParam*fC8Buffer[period]+fC0Buffer[period]-JMATempValue)*(powerValue*(-2.)+squareValue+1.)+squareValue*fA8Buffer[period-1];
JMATempValue=JMATempValue+fA8Buffer[period];
end
JMAValue=JMATempValue;
end
if loopParam<=30 then
JMAValue=0.;
end
JMAValueBuffer[period]=JMAValue;
local rel;
rel=JMAValueBuffer[period]-JMAValueBuffer[period-1];
if rel>=0 then
buffUP[period]=rel;
buffDN[period]=nil;
else
buffUP[period]=nil;
buffDN[period]=rel;
end
end
end
JMA_Slope.lua
Thanks!