dema: Double Exponential Moving Average

In AkselA/R-rollfun:

Description

dema performs exponential smoothing twice on the same vector.
This is not the same as the DEMA typically used in technical trading.

Usage

dema(x, a = 2, direction = c("ff", "fb", "bf", "av"))

Arguments

x	a numeric vector
a	numeric; smoothing factor
direction	character; should the two moving averages be run ff: forwards both times fb: forwards then backwards bf: backwards then forwards av: both fb and bf, returning the average

Details

The moving averages are done as in ema, except that the root-two'th root of a is used, to make the outputs more comparable.

That is

a* = a^(1/sqrt(2))

See Also

ema, iema

Examples

s <- c(0, 0, 1, NA, 2, 0, 1, 1, NA, NA, 2, NA, 3, 1, 2, 1, 0, 1, NA, 0, 0, 0)
plot(s, type="b", col="#00000088")
lines(dema(s, 2, dir="ff"), col=2)
lines(dema(s, 2, dir="fb"), col=3)
lines(dema(s, 2, dir="bf"), col=4)
lines(dema(s, 2, dir="av"), col=5)

AkselA/R-rollfun documentation built on May 31, 2019, 8:41 a.m.