# Copyright 2006, 2007, 2009, 2010 Kevin Ryde
# This file is part of Chart.
#
# Chart 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, or (at your option) any later version.
#
# Chart 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 Chart. If not, see <http://www.gnu.org/licenses/>.
package App::Chart::Series::Derived::KAMAalpha;
use 5.010;
use strict;
use warnings;
use Carp;
use List::Util qw(min max);
use Locale::TextDomain ('App-Chart');
use base 'App::Chart::Series::Indicator';
use App::Chart::Series::Calculation;
use App::Chart::Series::Derived::SMA;
use App::Chart::Series::Derived::EMA;
use constant
{ FASTEST_ALPHA => App::Chart::Series::Derived::EMA::N_to_alpha(2),
SLOWEST_ALPHA => App::Chart::Series::Derived::EMA::N_to_alpha(30) };
sub longname { __('KAMA - Alpha') }
sub shortname { __('KAMA alpha') }
sub manual { __p('manual-node','Kaufman Adaptive Moving Average') }
use constant
{ type => 'indicator',
priority => -10,
units => 'ema_alpha',
minimum => SLOWEST_ALPHA ** 2,
maximum => FASTEST_ALPHA ** 2,
parameter_info => [ { name => __('Days'),
key => 'kama_days',
type => 'integer',
minimum => 1,
default => 10 } ],
};
sub new {
my ($class, $parent, $N) = @_;
$N //= parameter_info()->[0]->{'default'};
($N > 0) || croak "KAMA bad N: $N";
return $class->SUPER::new
(parent => $parent,
parameters => [ $N ],
arrays => { values => [] },
array_aliases => { });
}
sub warmup_count {
my ($self_or_class, $N) = @_;
return $N;
}
sub proc {
my ($class, $N) = @_;
my $sum_proc = App::Chart::Series::Calculation->sum ($N);
my @values;
return sub {
my ($value) = @_;
my $alpha;
if (@values) {
my $prev = $values[0];
my $this_absmove = abs ($value - $prev);
my $total_absmove = $sum_proc->($this_absmove);
my $prevnth = $values[-1]; # $N days ago
my $net_move = abs ($value - $prevnth);
my $ef_ratio = ($total_absmove == 0
? 1 # would be 0/0
: $net_move / $total_absmove);
$alpha
= (SLOWEST_ALPHA + $ef_ratio * (FASTEST_ALPHA - SLOWEST_ALPHA)) ** 2;
# print " value=$value prev=$prev prevnth=$prevnth net_move=$net_move total_absmove=$total_absmove EF=$ef_ratio alpha=$alpha\n";
}
unshift @values, $value;
if (@values > $N) { # keep $N many
pop @values;
}
return $alpha;
};
}
1;
__END__
# =head1 NAME
#
# App::Chart::Series::Derived::KAMAalpha -- alpha factor for Kaufman Adaptive Moving Average
#
# =head1 SYNOPSIS
#
# my $series = $parent->KAMAalpha($N);
#
# =head1 DESCRIPTION
#
# ...
#
# =head1 SEE ALSO
#
# L<App::Chart::Series>
#
# =cut