[pshaiCmd] CC_ALMA

DefineCommand('ALMA', 'Arnaud Legoux Moving Average')

local prices = DefineParameter(ListNumberType, 'series', 'Input series', true, ClosePrices(), 'ClosePrices, HLPrices, HLCPrices, OHLCPrices')
local windowsize = DefineParameter(NumberType, 'windowsize', 'Period length of the calculation', true, 9, 'Number, Input')
local offset = DefineParameter(NumberType, 'offset', 'Offset value', true, 0.85, 'Number, Input')
local sigma = DefineParameter(NumberType, 'sigma', 'Sigma value', true, 6, 'Number, Input')
local max_length = DefineParameter(NumberType, 'maxlength', 'This value controls the size of the returned array. The smaller the length, the more faster this command runs, but if you need more datapoints than 2, control this value.', false, 2, 'Number, Input')

-- adjust this [max_length] value if you need more than 20 data points.
-- but keep in mind that this command becomes very slow very quickly!!
local ret = {}
local len = ArrayGet(Min(max_length, #prices), 1)

local alma = function(series)
    local length = windowsize
    local m = Floor(offset * (length - 1))
    local s = length / sigma
    local norm = 0.0
    local sum = 0.0
    local weight

    for i = length, 1, -1 do
        weight = Exp(-1 * Pow(i - m, 2) / (2 * Pow(s, 2)))
        norm = norm + weight
        sum = sum + ArrayGet(series, length - (i - 1)) * weight
    end

    return ArrayGet(sum / norm, 1)
end

for step = 1, len do
    local out = alma(prices[step])
    ret = ArrayAdd(ret, out)
end

DefineOutput(ListNumberType, ret, 'ALMA values', 'Plot')