GT::Indicators::REMA - Regularized Exponential Moving Average
Regularized EMA This modification of the classical EMA is described in Stock&Commodities (July 2003). It is an adaption that includes the momentum / second derivation of the value into the MA.
It should be used for the calculation of the MACD. The classical EMA is calculated as:
F(n+1)=F(n)+A*[G(n+1)-F(n)] --- A(alpha): A=2/(Period+1)
The REMA is calculated as followed:
F(n+1)={F(n)*(1+2*L)+A*[G(n+1)-F(n)]-L*[F(n-1)]}/(1+L)
with L(Lambda) as Regularization Factor. Lambda should be > 0.5
The first argument is the period used to calculed the average.
See above
The second argument is optional. It can be used to specify an other stream of input data for the average instead of the close prices. This is usually an indicator (detailed via {I:MyIndic <param>}).