Table of Contents

Class ArnaudLegouxMovingAverage

Namespace
FinanceSharp.Indicators
Assembly
FinanceSharp.dll

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: http://www.arnaudlegoux.com/index.html

public class ArnaudLegouxMovingAverage : WindowIndicator, IIndicator, IUpdatable
Inheritance
ArnaudLegouxMovingAverage
Implements
Inherited Members
Extension Methods

Constructors

ArnaudLegouxMovingAverage(int)

Initializes a new instance of the ArnaudLegouxMovingAverage class.

public ArnaudLegouxMovingAverage(int period)

Parameters

period int

int - the number of periods to calculate the ALMA.

ArnaudLegouxMovingAverage(int, int, double)

Initializes a new instance of the ArnaudLegouxMovingAverage class.

public ArnaudLegouxMovingAverage(int period, int sigma, double offset = 0.85)

Parameters

period int

int - the number of periods to calculate the ALMA

sigma int

int - this parameter is responsible for the shape of the curve coefficients. It affects the weight vector kurtosis.

offset double

double - 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.

ArnaudLegouxMovingAverage(string, int)

Initializes a new instance of the ArnaudLegouxMovingAverage class.

public ArnaudLegouxMovingAverage(string name, int period)

Parameters

name string

string - a name for the indicator

period int

int - the number of periods to calculate the ALMA.

ArnaudLegouxMovingAverage(string, int, int, double)

Initializes a new instance of the ArnaudLegouxMovingAverage class.

public ArnaudLegouxMovingAverage(string name, int period, int sigma = 6, double offset = 0.85)

Parameters

name string

string - a name for the indicator

period int

int - the number of periods to calculate the ALMA

sigma int

int - this parameter is responsible for the shape of the curve coefficients. It affects the weight vector kurtosis.

offset double

double - 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.

Properties

WarmUpPeriod

Required period, in data points, for the indicator to be ready and fully initialized.

public override int WarmUpPeriod { get; }

Property Value

int

Methods

Forward(IReadOnlyWindow<long>, IReadOnlyWindow<DoubleArray>, long, DoubleArray)

Computes the next value for this indicator from the given state.

protected override DoubleArray Forward(IReadOnlyWindow<long> timeWindow, IReadOnlyWindow<DoubleArray> window, long time, DoubleArray input)

Parameters

timeWindow IReadOnlyWindow<long>
window IReadOnlyWindow<DoubleArray>

The window of data held in this indicator

time long
input DoubleArray

The input value to this indicator on this time step

Returns

DoubleArray

A new value for this indicator

Exceptions

NotImplementedException

See Also

DoubleArray
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