SMA with extended analysis

Simple Moving Average with extended statistical analysis including mean absolute deviation (MAD), mean square error (MSE), and mean absolute percentage error (MAPE). See also Simple Moving Average. [Discuss] 💬

Each error metric charts on its own scale — MAD is in price units, MSE in price units squared, and MAPE is a fraction — so they are depicted separately.

// C# usage syntax
IReadOnlyList<SmaAnalysisResult> results =
  bars.ToSmaAnalysis(lookbackPeriods);

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) in the lookback window. Must be greater than 0.

Historical price bars requirements

You must have at least N periods of bars to cover the warmup periods.

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

IReadOnlyList<SmaAnalysisResult>

• 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.

SmaAnalysisResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Sma	double	Simple moving average
Mad	double	Mean absolute deviation
Mse	double	Mean square error
Mape	double	Mean absolute percentage error

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .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.HL2)
    .ToSmaAnalysis(..);

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

// example
var results = bars
    .ToSmaAnalysis(..)
    .ToRsi(..);

See Chaining indicators for more.

Streaming

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

SmaAnalysisList smaAnalysisList = new(lookbackPeriods);

foreach (IReusable value in bars)  // simulating stream
{
  smaAnalysisList.Add(value);
}

// based on `ICollection<SmaAnalysisResult>`
IReadOnlyList<SmaAnalysisResult> results = smaAnalysisList;

Subscribe to a chain-enabled hub for advanced streaming scenarios:

BarHub barHub = new();
SmaAnalysisHub observer = barHub.ToSmaAnalysisHub(lookbackPeriods);

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

IReadOnlyList<SmaAnalysisResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.