AdaptiveEMA

THe aim was to reduce the lag of exponential moving average via assesing r squared of polynomial fit.

Usage:

double[] someArray = new doublep[] {...}; 
var filter = new AdaptiveEMA.RSquaredAdaptiveEma(smoothingFactorMin: 0, smoothingFactorMax: 0.5, windowSize: 20);
var weightedValue = filter.GetLastValue(someArray);

double[] someArray = new doublep[] {...}; 
var filter = new AdaptiveEMA.RSquaredAdaptiveEma(smoothingFactorMin: 0, smoothingFactorMax: 0.5, windowSize: 20);
filter.UseConfirmationWindowSize(confirmationWindowSize: 10, significanceRatio: 2);

var weightedValue = filter.GetLastValue(someArray);

Results

License

AdaptiveEMA is licensed under the MIT license.