Triple Exponential Moving Average

Technical Analysis Indicator: tema

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Function Prototype

/* Triple Exponential Moving Average */
/* Type: overlay */
/* Input arrays: 1    Options: 1    Output arrays: 1 */
/* Inputs: real */
/* Options: period */
/* Outputs: tema */
int ti_tema_start(TI_REAL const *options);
int ti_tema(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.

The Triple Exponential Moving Average is similar to the Exponential Moving Average or the Double Exponential Moving Average, but provides even less lag. Triple Exponential Moving Average is probably best viewed as an extension of Double Exponential Moving Average.

It can be expressed in terms of the Exponential Moving Average as follows:

$$tema = 3 \cdot ema(in) - 3 \cdot ema(ema(in)) + ema(ema(ema(in)))$$

TI implements a clever algorithm which allows tema to be calculated in one pass through the input data.

See Also

References

Example Usage

Calling From C

/* Example usage of Triple Exponential Moving Average */
/* 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]; /* tema */

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

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

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

Calling From Lua (with Tulip Chart bindings)

-- Example usage of Triple Exponential Moving Average
tema = ti.tema(input, 5)

Example Calculation

period = 5

dateinputtema
2005-11-0181.59
2005-11-0281.06
2005-11-0382.87
2005-11-0483.00
2005-11-0783.61
2005-11-0883.15
2005-11-0982.84
2005-11-1083.99
2005-11-1184.55
2005-11-1484.36
2005-11-1585.53
2005-11-1686.54
2005-11-1786.8987.04
2005-11-1887.7787.82
2005-11-2187.2987.72

Chart

 

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