Moving Average Envelopes

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

chart for Moving Average Envelopes

// C# usage syntax
IEnumerable<MaEnvelopeResult> results =
  quotes.GetMaEnvelopes(lookbackPeriods, percentOffset, movingAverageType);

Parameters

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 options below. Default is MaType.SMA.

Historical quotes requirements

See links in the supported MaType options section below for details on the inherited requirements for quotes and lookbackPeriods.

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

MaType options

These are the supported moving average types:

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

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

Response

IEnumerable<MaEnvelopeResult>

This method returns a time series of all available indicator values for the quotes provided.
It always returns the same number of elements as there are in the historical quotes.
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 links in the supported MaType options section above for more information.

MaEnvelopeResult

Date DateTime - Date from evaluated TQuote

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

See Utilities and helpers for more information.

Chaining

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

// example
var results = quotes
    .Use(CandlePart.HLC3)
    .GetMaEnvelopes(..);

Results cannot be further chained with additional transforms.