README.md

Exponential Moving Average (EMA) (and Double EMA)

Exponentially weighted moving average of the Close price over N periods. More info on: EMA and Double EMA

// usage for EMA (standard)
IEnumerable<EmaResult> results = Indicator.GetEma(history, lookbackPeriod);

// usage for Double EMA
IEnumerable<EmaResult> results = Indicator.GetDoubleEma(history, lookbackPeriod);

Parameters

name	type	notes
history	IEnumerable<Quote>	Historical Quotes data should be at any consistent frequency (day, hour, minute, etc).
lookbackPeriod	int	Number of periods (N) in the moving average. Must be greater than 0.

Minimum history requirements

EMA (standard): You must supply at least 2×N or N+100 periods of history, whichever is more. Since this uses a smoothing technique, we recommend you use at least N+250 data points prior to the intended usage date for maximum precision.

Double EMA: You must supply at least 3×N or 2×N+100 periods of history, whichever is more. Since this uses a smoothing technique, we recommend you use at least 2×N+250 data points prior to the intended usage date for maximum precision.

Response

IEnumerable<EmaResult>

We always return the same number of elements as there are in the historical quotes.

Standard EMA: The first N-1 periods will have null values since there's not enough data to calculate.

Double EMA: The first 2×N-1 periods will have null values since there's not enough data to calculate.

EmaResult

name	type	notes
Index	int	Sequence of dates
Date	DateTime	Date
Ema	decimal	Exponential moving average for N lookback period

Example

// fetch historical quotes from your favorite feed, in Quote format
IEnumerable<Quote> history = GetHistoryFromFeed("SPY");

// calculate 20-period EMA
IEnumerable<EmaResult> results = Indicator.GetEma(history,20);

// use results as needed
DateTime evalDate = DateTime.Parse("12/31/2018");
EmaResult result = results.Where(x=>x.Date==evalDate).FirstOrDefault();
Console.WriteLine("EMA on {0} was ${1}", result.Date, result.Ema);

EMA on 12/31/2018 was $249.3519