Arnaud Legoux moving average
Gaussian weighted average whose peak you can move toward the newest bar.
Inputs
| Name | Type | Default | Range |
|---|---|---|---|
| source | source | close | |
| window | int | 9 | 1 to 5000 |
| offset | float | 0.85 | 0 to 1 |
| sigma | float | 6 | 0.5 to 50 |
Outputs
| Name | Type | Required | Description |
|---|---|---|---|
| alma | value | Optional | color theme.accent, style line, width 1 |
- Warm-up
- window - 1 bars (8 at the defaults)
- Repaints
- No
- Parity
- None
Formula
m = offset * (window - 1), s = window / sigma
w[k] = exp(-(k - m)^2 / (2 * s^2)), k = 0 for the oldest bar of the window
ALMA[i] = sum(w[k] * x[i-window+1+k]) / sum(w[k])