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Looking for a way to calculate the Exponential Moving Average over a window of 5 EMA5 and EMA20 using Esper (EPL) statements.

I have a stream of priceEvent (timeStamp , symbol and price) coming in and I wrote a Simple moving avrage SMA over a sliding window of 5 . But being fairly new to Esper , was looking for a way to calculate Exponential Moving Average (EMA) over sliding window.

http://www.iexplain.org/ema-how-to-calculate/

Also it will be great help if someone can help me in writing parabolic SAR function

tradetronics
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  • Ok Guys, I did more learning and analysis to get to the solution of finding Exponential Moving Average , below are the EPL statements – tradetronics Dec 25 '12 at 08:38

1 Answers1

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Ok Guys, I did more learning and research to get to the solution of finding Exponential Moving Average , below are the EPL statements that will help calculating ema5

//create a named window EMA5 Window
create window EMA5Window.win:length(1) as select price as ema5 from Quote

//insert the mean of first 5 events 
insert into EMA5Window select Avg(price) as ema5 from Quote.win:firstlength(5)

//after 5 events calculate todays ema = (today's price)/3 +  (yesterday's ema)*2/3, refer to http://www.iexplain.org/ema-how-to-calculate/ for ema formula 

insert into EMA5Window select ((price)*(1/3)+(2/3)*(select ema5 from EMA5Window)) as ema5 from Quote output after 5 events

// now select the ema5 as below
select ema5 as ema5 from EMA5Window output after 5 events

Working on calculating parabolic SAR will update once I am done. Thanks

tradetronics
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    A webinar by me on CEP , Using EMA calculations http://www.youtube.com/watch?feature=player_embedded&v=emwwpvfaddw – tradetronics Jun 07 '13 at 18:35