Arnaud Legoux Moving Average (ALMA)

Category: trend

Arnaud Legoux Moving Average (ALMA) uses a Gaussian distribution offset by a sigma factor to reduce lag while maintaining smoothness, unlike standard EMAs or SMAs.

Formula

ALMA = \frac{\sum_{i=0}^{N-1} Price_{t-i} \cdot e^{-\frac{(i-m)^2}{2s^2}}}{\sum_{i=0}^{N-1} e^{-\frac{(i-m)^2}{2s^2}}} \text{ where } m = \text{offset} \cdot (N-1), s = \frac{N}{\sigma}

Inputs

• AlmaPeriod (default: 14)
• AlmaSigma (default: 6.0)
• AlmaSample (default: 0.5)
• AlmaPrice (default: 0)

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