Smooth and high sensitive moving Average. This moving average reduce lag of the information but still being smooth to reduce noises. Is a weighted moving average, which weights have a Normal shape; the parameters Sigma and Offset affect the kurtosis and skewness of the weights respectively. Source: https://www.cjournal.cz/files/308.pdf More...
Public Member Functions | |
| ArnaudLegouxMovingAverage (string name, int period, int sigma=6, decimal offset=0.85m) | |
| Initializes a new instance of the ArnaudLegouxMovingAverage class. More... | |
| ArnaudLegouxMovingAverage (string name, int period) | |
| Initializes a new instance of the ArnaudLegouxMovingAverage class. More... | |
| ArnaudLegouxMovingAverage (int period, int sigma, decimal offset=0.85m) | |
| Initializes a new instance of the ArnaudLegouxMovingAverage class. More... | |
| ArnaudLegouxMovingAverage (int period) | |
| Initializes a new instance of the ArnaudLegouxMovingAverage class. More... | |
 Public Member Functions inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint > | |
| override void | Reset () |
| Resets this indicator to its initial state More... | |
Public Attributes | |
| int | WarmUpPeriod => _weightVector.Length |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
| Public Attributes inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint > | |
| int | Period |
| Gets the period of this window indicator More... | |
| override bool | IsReady |
| Gets a flag indicating when this indicator is ready and fully initialized More... | |
| virtual int | WarmUpPeriod |
| Required period, in data points, to the indicator to be ready and fully initialized More... | |
Protected Member Functions | |
| override decimal | ComputeNextValue (IReadOnlyWindow< IndicatorDataPoint > window, IndicatorDataPoint input) |
| Computes the next value for this indicator from the given state. More... | |
| Protected Member Functions inherited from QuantConnect.Indicators.WindowIndicator< IndicatorDataPoint > | |
| WindowIndicator (string name, int period) | |
| Initializes a new instance of the WindowIndicator class More... | |
| override decimal | ComputeNextValue (T input) |
| Computes the next value of this indicator from the given state More... | |
| abstract decimal | ComputeNextValue (IReadOnlyWindow< T > window, T input) |
| Computes the next value for this indicator from the given state. More... | |
Additional Inherited Members | |
| Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider | |
| int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Detailed Description
Smooth and high sensitive moving Average. This moving average reduce lag of the information but still being smooth to reduce noises. Is a weighted moving average, which weights have a Normal shape; the parameters Sigma and Offset affect the kurtosis and skewness of the weights respectively. Source: https://www.cjournal.cz/files/308.pdf
- See also
- IndicatorDataPoint
Definition at line 29 of file ArnaudLegouxMovingAverage.cs.
Constructor & Destructor Documentation
◆ ArnaudLegouxMovingAverage() [1/4]
| QuantConnect.Indicators.ArnaudLegouxMovingAverage.ArnaudLegouxMovingAverage | ( | string | name, |
| int | period, | ||
| int | sigma = 6, |
||
| decimal | offset = 0.85m |
||
| ) |
Initializes a new instance of the ArnaudLegouxMovingAverage class.
- Parameters
-
name string - a name for the indicator period int - the number of periods to calculate the ALMA sigma int - this parameter is responsible for the shape of the curve coefficients. It affects the weight vector kurtosis. offset decimal - This parameter allows regulating the smoothness and high sensitivity of the Moving Average. The range for this parameter is [0, 1]. It affects the weight vector skewness.
Definition at line 50 of file ArnaudLegouxMovingAverage.cs.
◆ ArnaudLegouxMovingAverage() [2/4]
| QuantConnect.Indicators.ArnaudLegouxMovingAverage.ArnaudLegouxMovingAverage | ( | string | name, |
| int | period | ||
| ) |
Initializes a new instance of the ArnaudLegouxMovingAverage class.
- Parameters
-
name string - a name for the indicator period int - the number of periods to calculate the ALMA.
Definition at line 72 of file ArnaudLegouxMovingAverage.cs.
◆ ArnaudLegouxMovingAverage() [3/4]
| QuantConnect.Indicators.ArnaudLegouxMovingAverage.ArnaudLegouxMovingAverage | ( | int | period, |
| int | sigma, | ||
| decimal | offset = 0.85m |
||
| ) |
Initializes a new instance of the ArnaudLegouxMovingAverage class.
- Parameters
-
period int - the number of periods to calculate the ALMA sigma int - this parameter is responsible for the shape of the curve coefficients. It affects the weight vector kurtosis. offset decimal - This parameter allows regulating the smoothness and high sensitivity of the Moving Average. The range for this parameter is [0, 1]. It affects the weight vector skewness.
Definition at line 89 of file ArnaudLegouxMovingAverage.cs.
◆ ArnaudLegouxMovingAverage() [4/4]
| QuantConnect.Indicators.ArnaudLegouxMovingAverage.ArnaudLegouxMovingAverage | ( | int | period | ) |
Initializes a new instance of the ArnaudLegouxMovingAverage class.
- Parameters
-
period int - the number of periods to calculate the ALMA.
Definition at line 98 of file ArnaudLegouxMovingAverage.cs.
Member Function Documentation
◆ ComputeNextValue()
|
protected |
Computes the next value for this indicator from the given state.
- Parameters
-
window The window of data held in this indicator input The input value to this indicator on this time step
- Returns
- A new value for this indicator
- Exceptions
-
System.NotImplementedException
Definition at line 112 of file ArnaudLegouxMovingAverage.cs.
Member Data Documentation
◆ WarmUpPeriod
| int QuantConnect.Indicators.ArnaudLegouxMovingAverage.WarmUpPeriod => _weightVector.Length |
Required period, in data points, for the indicator to be ready and fully initialized.
Definition at line 36 of file ArnaudLegouxMovingAverage.cs.
The documentation for this class was generated from the following file:
- Indicators/ArnaudLegouxMovingAverage.cs
