Moving Average Envelopes

Moving Average Envelopes is a price band channel overlay that is offset from the moving average of price. [Discuss] 💬

// C# usage syntax
IReadOnlyList<MaEnvelopeResult> results =
  bars.ToMaEnvelopes(lookbackPeriods, percentOffset, movingAverageType);

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) in the moving average. Must be greater than 1.
percentOffset	double	Percent offset for envelope width. Example: 3.5% would be entered as 3.5 (not 0.035). Must be greater than 0. Typical values range from 2 to 10. Default is 2.5.
movingAverageType	MaType	Type of moving average (e.g. SMA, EMA, HMA). See MaType enum options below. Default is MaType.SMA.

Historical price bars requirements

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.

Detailed bars requirements for each of the MaType enum options types can be found at the links in the following table.

MaType enum options

These are the supported moving average types:

enum value	moving average
MaType.ALMA	Arnaud Legoux Moving Average
MaType.DEMA	Double Exponential Moving Average
MaType.EPMA	Endpoint Moving Average
MaType.EMA	Exponential Moving Average
MaType.HMA	Hull Moving Average
MaType.SMA	Simple Moving Average (default)
MaType.SMMA	Smoothed Moving Average
MaType.TEMA	Triple Exponential Moving Average
MaType.WMA	Weighted Moving Average

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For ALMA, default values are used for offset and sigma.

Response

IReadOnlyList<MaEnvelopeResult>

• 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 periods will have null values since there's not enough data to calculate; the quantity will vary based on the movingAverageType specified.

🚩 ⚞ Convergence warning

Some moving average variants have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods. See the MaType enum options section above for more information.

MaEnvelopeResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Centerline	double	Moving average
UpperEnvelope	double	Upper envelope band
LowerEnvelope	double	Lower envelope band

The moving average Centerline is based on the movingAverageType type specified.

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

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

// example
var results = bars
    .Use(CandlePart.HLC3)
    .ToMaEnvelopes(..);

Results cannot be further chained with additional transforms.

See Chaining indicators for more.

Streaming

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

MaEnvelopesList maEnvList = new(lookbackPeriods, percentOffset, movingAverageType);

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

// based on `ICollection<MaEnvelopeResult>`
IReadOnlyList<MaEnvelopeResult> results = maEnvList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
MaEnvelopesHub observer = barHub.ToMaEnvelopesHub(lookbackPeriods, percentOffset, movingAverageType);

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

IReadOnlyList<MaEnvelopeResult> results = observer.Results;

::: note In streaming mode, only certain moving average types are supported. ALMA, EPMA, and HMA are not yet supported in streaming mode and will throw a NotImplementedException. :::

See Buffer lists and Stream hubs for full usage guides.