Exponential Decay

Technical Analysis Indicator: edecay

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Function Prototype

/* Exponential Decay */
/* Type: math */
/* Input arrays: 1    Options: 1    Output arrays: 1 */
/* Inputs: real */
/* Options: period */
/* Outputs: edecay */
int ti_edecay_start(TI_REAL const *options);
int ti_edecay(int size,
      TI_REAL const *const *inputs,
      TI_REAL const *options,
      TI_REAL *const *outputs);

Description

This documentation is still a work in progress. It has omissions, and it probably has errors too. If you see any issues, or have any general feedback, please get in touch.

Decay is a simple function used to propagate signals from the past into the future. It is useful in conjunction with algorithm trading and machine learning functions.

It is typically used the same way as Linear Decay, but decays a bit slower for the same period.

$$edecay_{t} = max(input_{t}, edecay_{t-1} \cdot (1-\frac{1}{period}))$$

See Also

Example Usage

Calling From C

/* Example usage of Exponential Decay */
/* Assuming that 'input' is a pre-loaded array of size 'in_size'. */
TI_REAL *inputs[] = {input};
TI_REAL options[] = {5}; /* period */
TI_REAL *outputs[1]; /* edecay */

/* Determine how large the output size is for our options. */
const int out_size = in_size - ti_edecay_start(options);

/* Allocate memory for output. */
outputs[0] = malloc(sizeof(TI_REAL) * out_size); assert(outputs[0] != 0); /* edecay */

/* Run the actual calculation. */
const int ret = ti_edecay(in_size, inputs, options, outputs);
assert(ret == TI_OKAY);

Calling From Lua (with Tulip Chart bindings)

-- Example usage of Exponential Decay
edecay = ti.edecay(input, 5)

Example Calculation

period = 5

dateinputedecay
2005-11-0181.5981.59
2005-11-0281.0681.06
2005-11-0382.8782.87
2005-11-0483.0083.00
2005-11-0783.6183.61
2005-11-0883.1583.15
2005-11-0982.8482.84
2005-11-1083.9983.99
2005-11-1184.5584.55
2005-11-1484.3684.36
2005-11-1585.5385.53
2005-11-1686.5486.54
2005-11-1786.8986.89
2005-11-1887.7787.77
2005-11-2187.2987.29

Chart

 

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