IE2.efs
EFSLibrary - Discussion Board
File Name: IE2.efs
Description:
IE/2
Formula Parameters:
- Length: 15
- Price Data To Use: Close
Notes:
IE/2 is one of pre-studies created while T3 famous average was developing. It is calculated as
ILRS(n)+EPMA(n))/2.
ILRS, is an integral of linear regression slope. In this moving average, the slope of a linear regression line is simply integrated as it is fitted in a moving window of length n across the data. The derivative of ILRS is
the linear regression slope.
EPMA is an end point moving average - it is the endpoint of the linear regression line of length n as it is fitted across the data. EPMA hugs the data more closely than a simple or exponential moving average of the same length.
Download File:
IE2.efs
EFS Code:
/********************************* Provided By: eSignal (Copyright c eSignal), a division of Interactive Data Corporation. 2008. All rights reserved. This sample eSignal Formula Script (EFS) is for educational purposes only and may be modified and saved under a new file name. eSignal is not responsible for the functionality once modified. eSignal reserves the right to modify and overwrite this EFS file with each new release. Description: IE/2 Version: 1.0 09/23/2008 Notes: IE/2 is one of pre-studies created while T3 famous average was developing. It is calculated as (ILRS(n)+EPMA(n))/2. ILRS, is an integral of linear regression slope. In this moving average, the slope of a linear regression line is simply integrated as it is fitted in a moving window of length n across the data. The derivative of ILRS is the linear regression slope. EPMA is an end point moving average - it is the endpoint of the linear regression line of length n as it is fitted across the data. EPMA hugs the data more closely than a simple or exponential moving average of the same length. Formula Parameters: Default: Length 15 Price Data To Use Close **********************************/ var fpArray = new Array(); var bInit = false; function preMain() { setStudyTitle("IE/2"); setCursorLabelName("IE/2"); setDefaultBarFgColor(Color.cyan, 0); setPlotType(PLOTTYPE_LINE,0); setDefaultBarThickness(3, 0); setPriceStudy(true); var x=0; fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER); with(fpArray[x++]){ setLowerLimit(1); setDefault(15); } fpArray[x] = new FunctionParameter("Price", FunctionParameter.STRING); with(fpArray[x++]){ setName("Price Data To Use"); addOption("open"); addOption("high"); addOption("low"); addOption("close"); addOption("hl2"); addOption("hlc3"); addOption("ohlc4"); setDefault("close"); } } var xIE = null; var xMyPrice = null; function main(Price, Length) { var nIE = 0; if (Price == null) Price = "close"; if (Length == null) Period = 15; if ( bInit == false ) { xMyPrice = eval(Price)(); xIE = efsInternal("Calc_IE", xMyPrice, Length); bInit = true; } if (getCurrentBarCount() <= Length) return; nIE = xIE.getValue(0); return nIE; } function Calc_IE(xMyPrice, Length){ var nAvg = 0.0; var nSumBars = Length * (Length - 1) * 0.5; var nSumSqrBars = (Length - 1) * Length * (2 * Length - 1) / 6; var nSum1 = 0.0; var nSumY = 0.0; for (var i = 0; i < Length; i++) { nAvg += xMyPrice.getValue(-i); nSum1 += i * xMyPrice.getValue(-i); nSumY += xMyPrice.getValue(-i); } nAvg /= Length; var nSum2 = nSumBars * nSumY; var nNum1 = Length * nSum1 - nSum2; var nNum2 = nSumBars * nSumBars - Length * nSumSqrBars; var nLinRegSlope = 0.0; if (nNum2 != 0) { nLinRegSlope = nNum1 / nNum2; } var nILRS = nLinRegSlope + nAvg; var nIntercept = (nSumY - nLinRegSlope * nSumBars) / Length; var nLinearRegValue = nIntercept + nLinRegSlope * (Length - 1); var nIE = (nILRS + nLinearRegValue) / 2; return nIE; }