Ie/2

[eSignal]

File Name: IE2.efs

Description:
IE/2

Formula Parameters:
Length: 15
Price Data To Use: Close


Notes:
IE/2 is one of pre-studies created while T3 famous average was developing.
It is calculated as (ILRS(n)+EPMA(n))/2.

ILRS, is an integral of linear regression slope. In this moving average,
the slope of a linear regression line is simply integrated as it is fitted
in a moving window of length n across the data. The derivative of ILRS is
the linear regression slope.

EPMA is an end point moving average - it is the endpoint of the linear regression
line of length n as it is fitted across the data. EPMA hugs the data more closely
than a simple or exponential moving average of the same length.


Download File:
IE2.efs



EFS Code:

/*********************************
Provided By:  
    eSignal (Copyright c eSignal), a division of Interactive Data 
    Corporation. 2008. All rights reserved. This sample eSignal 
    Formula Script (EFS) is for educational purposes only and may be 
    modified and saved under a new file name.  eSignal is not responsible
    for the functionality once modified.  eSignal reserves the right 
    to modify and overwrite this EFS file with each new release.
   

Description:        
    IE/2

Version:            1.0  09/23/2008

Notes:
    IE/2 is one of pre-studies created while T3 famous average was developing.
    It is calculated as (ILRS(n)+EPMA(n))/2.

    ILRS, is an integral of linear regression slope. In this moving average,
    the slope of a linear regression line is simply integrated as it is fitted
    in a moving window of length n across the data. The derivative of ILRS is
    the linear regression slope.

    EPMA is an end point moving average - it is the endpoint of the linear regression
    line of length n as it is fitted across the data. EPMA hugs the data more closely
    than a simple or exponential moving average of the same length. 

Formula Parameters:                     Default:
    Length                                  15
    Price Data To Use                      Close
**********************************/


var fpArray = new Array();
var bInit = false;


function preMain()
{
    setStudyTitle("IE/2");
    setCursorLabelName("IE/2");
    setDefaultBarFgColor(Color.cyan, 0);
    setPlotType(PLOTTYPE_LINE,0);
    setDefaultBarThickness(3, 0);
    setPriceStudy(true);
    
    var x=0;
    fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
    with(fpArray[x++]){
        setLowerLimit(1);        
        setDefault(15);
    }

    fpArray[x] = new FunctionParameter("Price", FunctionParameter.STRING);
    with(fpArray[x++]){
        setName("Price Data To Use");
        addOption("open"); 
        addOption("high");
        addOption("low");
        addOption("close");
        addOption("hl2");
        addOption("hlc3");
        addOption("ohlc4"); 
        setDefault("close"); 
    }
}

var xIE = null;
var xMyPrice = null;

function main(Price, Length) {
    var nIE = 0;
    
    if (Price == null) Price = "close";
    if (Length == null) Period = 15;
    
    if ( bInit == false ) { 
        xMyPrice = eval(Price)();
        xIE = efsInternal("Calc_IE", xMyPrice, Length);
        bInit = true; 
    } 

    if (getCurrentBarCount() <= Length) return;
    
    nIE = xIE.getValue(0);

    return nIE;
}

function Calc_IE(xMyPrice, Length){
    var nAvg = 0.0;
    var nSumBars = Length * (Length - 1) * 0.5;
    var nSumSqrBars = (Length - 1) * Length * (2 * Length - 1) / 6;
    var nSum1 = 0.0;
    var nSumY = 0.0;

    for (var i = 0; i < Length; i++)
    {
        nAvg += xMyPrice.getValue(-i);
        nSum1 += i * xMyPrice.getValue(-i);
        nSumY += xMyPrice.getValue(-i);
    }

    nAvg /= Length;
    
    var nSum2 = nSumBars * nSumY;
    var nNum1 = Length * nSum1 - nSum2;
    var nNum2 = nSumBars * nSumBars - Length * nSumSqrBars;
    var nLinRegSlope = 0.0;
    
    if (nNum2 != 0)
    {
        nLinRegSlope = nNum1 / nNum2;
    }
    
    var nILRS = nLinRegSlope + nAvg;
    var nIntercept = (nSumY - nLinRegSlope * nSumBars) / Length;
    var nLinearRegValue = nIntercept + nLinRegSlope * (Length - 1);
    var nIE =  (nILRS + nLinearRegValue) / 2;
    
   
    return nIE;
}