使用Esper计算指数移动平均线

Question

寻找一种使用Esper(EPL)语句在5 EMA5和EMA20窗口上计算指数移动平均线的方法.

我有一个priceEvent(timeStamp,symbol和price)流,我在5的滑动窗口上写了一个简单的移动avrage SMA.但对Esper来说还是一个新手,正在寻找一种在滑动窗口上计算指数移动平均线(EMA)的方法.

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

如果有人可以帮助我编写抛物线SAR功能,那将会很有帮助

Answer 1

好的，大家，我做了更多的学习和研究来找到指数移动平均线的解决方案，下面是有助于计算 ema5 的 EPL 语句

//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

计算抛物线 SAR 的工作将在我完成后更新。谢谢