|
|
|
楼主 |
发表于 2018-3-1 07:53
|
显示全部楼层
本帖最后由 心有灵兮 于 2018-3-1 08:50 编辑
刚刚在网上搜到了AdaptiveMovAvg算法代码，请大家参考。
//------------------------------------------------------------------------
// 简称: AdaptiveMovAvg
// 名称: 求卡夫曼自适应移动平均
// 类别: 用户函数
// 类型: 内建函数
// 输出: 数值型
//------------------------------------------------------------------------
Params
NumericSeries Price(1);
Numeric EffRatioLength(10);
Numeric FastAvgLength(2);
Numeric SlowAvgLength(30);
Vars
Numeric NetChg(0);
Numeric TotChg(0);
Numeric EffRatio(0);
Numeric ScaledSFSqr(0);
NumericSeries AMAValue;
Numeric SFDiff;
Begin
if(CurrentBar == 0)
{
AMAValue = Price;
}Else
{
NetChg = Abs( Price - Price[EffRatioLength] );
TotChg = Summation( Abs( Price - Price[1] ), EffRatioLength );
EffRatio = IIF(TotChg > 0, NetChg / TotChg, 0);
SFDiff = 2 / ( FastAvgLength + 1 ) - 2 / ( SlowAvgLength + 1 );
ScaledSFSqr = Sqr( 2 / ( SlowAvgLength + 1 ) + EffRatio * SFDiff );
AMAValue = AMAValue[1] + ScaledSFSqr * ( Price - AMAValue[1] );
}
Return AMAValue;
End
//------------------------------------------------------------------------
// 编译版本 GS2010.12.08
|
|
|
发表于 2018-2-27 21:33
