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/**
* The MIT License (MIT)
*
* Copyright (c) 2014-2016 Marc de Verdelhan & respective authors (see AUTHORS)
*
* Permission is hereby granted, free of charge, to any person obtaining a copy of
* this software and associated documentation files (the "Software"), to deal in
* the Software without restriction, including without limitation the rights to
* use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
* the Software, and to permit persons to whom the Software is furnished to do so,
* subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in all
* copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
* FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
* COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
* IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
* CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
package eu.verdelhan.ta4j.indicators.trackers;
import eu.verdelhan.ta4j.Indicator;
import eu.verdelhan.ta4j.Decimal;
import eu.verdelhan.ta4j.indicators.RecursiveCachedIndicator;
/**
* Zero-lag exponential moving average indicator.
*
* @see http://www.fmlabs.com/reference/default.htm?url=ZeroLagExpMA.htm
*/
public class ZLEMAIndicator extends RecursiveCachedIndicator {
private final Indicator indicator;
private final int timeFrame;
private final Decimal k;
private final int lag;
public ZLEMAIndicator(Indicator indicator, int timeFrame) {
super(indicator);
this.indicator = indicator;
this.timeFrame = timeFrame;
k = Decimal.TWO.dividedBy(Decimal.valueOf(timeFrame + 1));
lag = (timeFrame - 1) / 2;
}
@Override
protected Decimal calculate(int index) {
if (index + 1 < timeFrame) {
// Starting point of the ZLEMA
return new SMAIndicator(indicator, timeFrame).getValue(index);
}
if (index == 0) {
// If the timeframe is bigger than the indicator's value count
return indicator.getValue(0);
}
Decimal zlemaPrev = getValue(index - 1);
return k.multipliedBy(Decimal.TWO.multipliedBy(indicator.getValue(index)).minus(indicator.getValue(index-lag)))
.plus(Decimal.ONE.minus(k).multipliedBy(zlemaPrev));
}
}