Module backtrader.indicators.hma

Expand source code 
#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)


from . import MovingAverageBase, MovAv


# Inherits from MovingAverageBase to auto-register as MovingAverage type
class HullMovingAverage(MovingAverageBase):
    '''By Alan Hull

    The Hull Moving Average solves the age old dilemma of making a moving
    average more responsive to current price activity whilst maintaining curve
    smoothness. In fact the HMA almost eliminates lag altogether and manages to
    improve smoothing at the same time.

    Formula:
      - hma = wma(2 * wma(data, period // 2) - wma(data, period), sqrt(period))

    See also:
      - http://alanhull.com/hull-moving-average

    Note:

      - Please note that the final minimum period is not the period passed with
        the parameter ``period``. A final moving average on moving average is
        done in which the period is the *square root* of the original.

        In the default case of ``30`` the final minimum period before the
        moving average produces a non-NAN value is ``34``
    '''
    alias = ('HMA', 'HullMA',)
    lines = ('hma',)

    # param 'period' is inherited from MovingAverageBase
    params = (('_movav', MovAv.WMA),)

    def __init__(self):
        wma = self.p._movav(self.data, period=self.params.period)
        wma2 = 2.0 * self.p._movav(self.data, period=self.params.period // 2)

        sqrtperiod = pow(self.params.period, 0.5)
        self.lines.hma = self.p._movav(wma2 - wma, period=int(sqrtperiod))

        # Done after calc to ensure coop inheritance and composition work
        super(HullMovingAverage, self).__init__()

Classes

class HMA

By Alan Hull

The Hull Moving Average solves the age old dilemma of making a moving average more responsive to current price activity whilst maintaining curve smoothness. In fact the HMA almost eliminates lag altogether and manages to improve smoothing at the same time.

Formula

  • hma = wma(2 * wma(data, period // 2) - wma(data, period), sqrt(period))

See also: - http://alanhull.com/hull-moving-average

Note

  • Please note that the final minimum period is not the period passed with the parameter period. A final moving average on moving average is done in which the period is the square root of the original.

In the default case of 30 the final minimum period before the moving average produces a non-NAN value is 34

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class HullMA

By Alan Hull

The Hull Moving Average solves the age old dilemma of making a moving average more responsive to current price activity whilst maintaining curve smoothness. In fact the HMA almost eliminates lag altogether and manages to improve smoothing at the same time.

Formula

  • hma = wma(2 * wma(data, period // 2) - wma(data, period), sqrt(period))

See also: - http://alanhull.com/hull-moving-average

Note

  • Please note that the final minimum period is not the period passed with the parameter period. A final moving average on moving average is done in which the period is the square root of the original.

In the default case of 30 the final minimum period before the moving average produces a non-NAN value is 34

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class HullMovingAverage

By Alan Hull

The Hull Moving Average solves the age old dilemma of making a moving average more responsive to current price activity whilst maintaining curve smoothness. In fact the HMA almost eliminates lag altogether and manages to improve smoothing at the same time.

Formula

  • hma = wma(2 * wma(data, period // 2) - wma(data, period), sqrt(period))

See also: - http://alanhull.com/hull-moving-average

Note

  • Please note that the final minimum period is not the period passed with the parameter period. A final moving average on moving average is done in which the period is the square root of the original.

In the default case of 30 the final minimum period before the moving average produces a non-NAN value is 34

Expand source code 
class HullMovingAverage(MovingAverageBase):
    '''By Alan Hull

    The Hull Moving Average solves the age old dilemma of making a moving
    average more responsive to current price activity whilst maintaining curve
    smoothness. In fact the HMA almost eliminates lag altogether and manages to
    improve smoothing at the same time.

    Formula:
      - hma = wma(2 * wma(data, period // 2) - wma(data, period), sqrt(period))

    See also:
      - http://alanhull.com/hull-moving-average

    Note:

      - Please note that the final minimum period is not the period passed with
        the parameter ``period``. A final moving average on moving average is
        done in which the period is the *square root* of the original.

        In the default case of ``30`` the final minimum period before the
        moving average produces a non-NAN value is ``34``
    '''
    alias = ('HMA', 'HullMA',)
    lines = ('hma',)

    # param 'period' is inherited from MovingAverageBase
    params = (('_movav', MovAv.WMA),)

    def __init__(self):
        wma = self.p._movav(self.data, period=self.params.period)
        wma2 = 2.0 * self.p._movav(self.data, period=self.params.period // 2)

        sqrtperiod = pow(self.params.period, 0.5)
        self.lines.hma = self.p._movav(wma2 - wma, period=int(sqrtperiod))

        # Done after calc to ensure coop inheritance and composition work
        super(HullMovingAverage, self).__init__()

Ancestors

Subclasses

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members