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Double Exponential Moving Average (DEMA) ​

Created by Patrick G. Mulloy, the Double exponential moving average is a faster smoothed EMA of the price over a lookback window. [Discuss] 💬

csharp
// C# usage syntax
IReadOnlyList<DemaResult> results =
  bars.ToDema(lookbackPeriods);

Parameters ​

paramtypedescription
lookbackPeriodsintNumber of periods (N) in the moving average. Must be greater than 0.

Historical price bars requirements ​

You must have at least 3×N or 2×N+100 periods of bars, whichever is more, to cover the warmup and convergence periods. Since this uses a smoothing technique, we recommend you use at least 2×N+250 data points prior to the intended usage date for better precision.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response ​

csharp
IReadOnlyList<DemaResult>
  • This method returns a time series of all available indicator values for the bars provided.
  • It always returns the same number of elements as there are in the historical price bars.
  • It does not return a single incremental indicator value.
  • The first N-1 periods will have null values since there's not enough data to calculate.

🚩 ⚞ Convergence warning

The first 2×N+100 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

DemaResult ​

propertytypedescription
TimestampDateTimeDate from evaluated TBar
DemadoubleDouble exponential moving average

Utilities ​

See Utilities and helpers for more information.

Chaining ​

This indicator may be generated from any chain-enabled indicator or method.

csharp
// example
var results = bars
    .Use(CandlePart.HL2)
    .ToDema(..);

Results can be further processed on Dema with additional chain-enabled indicators.

csharp
// example
var results = bars
    .ToDema(..)
    .ToRsi(..);

See Chaining indicators for more.

Streaming ​

Use the buffer-style List<T> when you need incremental calculations without a hub:

csharp
DemaList demaList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  demaList.Add(bar);
}

// based on `ICollection<DemaResult>`
IReadOnlyList<DemaResult> results = demaList;

Subscribe to a BarHub for advanced streaming scenarios:

csharp
BarHub barHub = new();
DemaHub observer = barHub.ToDemaHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<DemaResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.