AMA

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Calculation

Experimental Time Series

Real Time Series

C++-Source

BOOL ivorix_ama (
          vector<double>& ivec,     // input  vector
          vector<double>& ovec,     // output vector
          unsigned long   span,     // time period or span of embedding
          unsigned long   fastSmoothingPeriod,
          unsigned long   slowSmoothingPeriod)
{
    double  fsc   = 2.0 / (double) (fastSmoothingPeriod + 1.0);
    double  ssc   = 2.0 / (double) (slowSmoothingPeriod + 1.0);
    double  se    = 2.0 / (double) (span + 1); // short exponent
    double  le    = 1.0 - se;                  // long exponent
    ULONG   e     = ivec.size();
    ULONG   x     = 0;
    ULONG   y     = 0;

    if ( span == 0 || span >= e )
        return false;

    ovec.resize(ivec.size());

    ovec[0] = ivec[0];

    for ( x = 1; x < e; x++ )
    {
        double direction  = 0;
        double volatility = 0;
        double eratio     = 0;
        double c          = 0;

        if ( x >= span )
        {
            direction = ivec[x] - ivec[x - span];

            for ( y = 0; y < span; y++ )
                volatility += fabs(ivec[x - y] -  ivec[x - y - 1]);

            if ( volatility != 0 )
            {
                eratio = direction / volatility;
                c      = sqr ( (eratio * ( fsc - ssc )) + ssc );
            }

            ovec[x] = ovec[x-1] + c * (ivec[x] - ovec[x-1]);
        }
        else
        {
            ovec[x] = ivec[x] * se + ovec[x-1] * le;
        }
    }

    return true;
}

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