Module backtrader.indicators.smma

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, ExponentialSmoothing


class SmoothedMovingAverage(MovingAverageBase):
    '''
    Smoothing Moving Average used by Wilder in his 1978 book `New Concepts in
    Technical Trading`

    Defined in his book originally as:

      - new_value = (old_value * (period - 1) + new_data) / period

    Can be expressed as a SmoothingMovingAverage with the following factors:

      - self.smfactor -> 1.0 / period
      - self.smfactor1 -> `1.0 - self.smfactor`

    Formula:
      - movav = prev * (1.0 - smoothfactor) + newdata * smoothfactor

    See also:
      - http://en.wikipedia.org/wiki/Moving_average#Modified_moving_average
    '''
    alias = ('SMMA', 'WilderMA', 'MovingAverageSmoothed',
             'MovingAverageWilder', 'ModifiedMovingAverage',)
    lines = ('smma',)

    def __init__(self):
        # Before super to ensure mixins (right-hand side in subclassing)
        # can see the assignment operation and operate on the line
        self.lines[0] = ExponentialSmoothing(
            self.data,
            period=self.p.period,
            alpha=1.0 / self.p.period)
        super(SmoothedMovingAverage, self).__init__()

Classes

class ModifiedMovingAverage

Smoothing Moving Average used by Wilder in his 1978 book New Concepts in Technical Trading

Defined in his book originally as:

  • new_value = (old_value * (period - 1) + new_data) / period

Can be expressed as a SmoothingMovingAverage with the following factors:

  • self.smfactor -> 1.0 / period
  • self.smfactor1 -> 1.0 - self.smfactor

Formula

  • movav = prev * (1.0 - smoothfactor) + newdata * smoothfactor

See also: - http://en.wikipedia.org/wiki/Moving_average#Modified_moving_average

Ancestors

Class variables

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

Inherited members

class MovingAverageSmoothed

Smoothing Moving Average used by Wilder in his 1978 book New Concepts in Technical Trading

Defined in his book originally as:

  • new_value = (old_value * (period - 1) + new_data) / period

Can be expressed as a SmoothingMovingAverage with the following factors:

  • self.smfactor -> 1.0 / period
  • self.smfactor1 -> 1.0 - self.smfactor

Formula

  • movav = prev * (1.0 - smoothfactor) + newdata * smoothfactor

See also: - http://en.wikipedia.org/wiki/Moving_average#Modified_moving_average

Ancestors

Class variables

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

Inherited members

class MovingAverageWilder

Smoothing Moving Average used by Wilder in his 1978 book New Concepts in Technical Trading

Defined in his book originally as:

  • new_value = (old_value * (period - 1) + new_data) / period

Can be expressed as a SmoothingMovingAverage with the following factors:

  • self.smfactor -> 1.0 / period
  • self.smfactor1 -> 1.0 - self.smfactor

Formula

  • movav = prev * (1.0 - smoothfactor) + newdata * smoothfactor

See also: - http://en.wikipedia.org/wiki/Moving_average#Modified_moving_average

Ancestors

Class variables

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

Inherited members

class SMMA

Smoothing Moving Average used by Wilder in his 1978 book New Concepts in Technical Trading

Defined in his book originally as:

  • new_value = (old_value * (period - 1) + new_data) / period

Can be expressed as a SmoothingMovingAverage with the following factors:

  • self.smfactor -> 1.0 / period
  • self.smfactor1 -> 1.0 - self.smfactor

Formula

  • movav = prev * (1.0 - smoothfactor) + newdata * smoothfactor

See also: - http://en.wikipedia.org/wiki/Moving_average#Modified_moving_average

Ancestors

Class variables

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

Inherited members

class SmoothedMovingAverage

Smoothing Moving Average used by Wilder in his 1978 book New Concepts in Technical Trading

Defined in his book originally as:

  • new_value = (old_value * (period - 1) + new_data) / period

Can be expressed as a SmoothingMovingAverage with the following factors:

  • self.smfactor -> 1.0 / period
  • self.smfactor1 -> 1.0 - self.smfactor

Formula

  • movav = prev * (1.0 - smoothfactor) + newdata * smoothfactor

See also: - http://en.wikipedia.org/wiki/Moving_average#Modified_moving_average

Expand source code 
class SmoothedMovingAverage(MovingAverageBase):
    '''
    Smoothing Moving Average used by Wilder in his 1978 book `New Concepts in
    Technical Trading`

    Defined in his book originally as:

      - new_value = (old_value * (period - 1) + new_data) / period

    Can be expressed as a SmoothingMovingAverage with the following factors:

      - self.smfactor -> 1.0 / period
      - self.smfactor1 -> `1.0 - self.smfactor`

    Formula:
      - movav = prev * (1.0 - smoothfactor) + newdata * smoothfactor

    See also:
      - http://en.wikipedia.org/wiki/Moving_average#Modified_moving_average
    '''
    alias = ('SMMA', 'WilderMA', 'MovingAverageSmoothed',
             'MovingAverageWilder', 'ModifiedMovingAverage',)
    lines = ('smma',)

    def __init__(self):
        # Before super to ensure mixins (right-hand side in subclassing)
        # can see the assignment operation and operate on the line
        self.lines[0] = ExponentialSmoothing(
            self.data,
            period=self.p.period,
            alpha=1.0 / self.p.period)
        super(SmoothedMovingAverage, self).__init__()

Ancestors

Subclasses

Class variables

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

Inherited members

class WilderMA

Smoothing Moving Average used by Wilder in his 1978 book New Concepts in Technical Trading

Defined in his book originally as:

  • new_value = (old_value * (period - 1) + new_data) / period

Can be expressed as a SmoothingMovingAverage with the following factors:

  • self.smfactor -> 1.0 / period
  • self.smfactor1 -> 1.0 - self.smfactor

Formula

  • movav = prev * (1.0 - smoothfactor) + newdata * smoothfactor

See also: - http://en.wikipedia.org/wiki/Moving_average#Modified_moving_average

Ancestors

Class variables

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

Inherited members