Chebyshev-Gauss Moving Average

8 juin

This indicator applies the principles of Chebyshev-Gauss Quadrature to create a novel type of moving average. Inspired by reading https://rohangautam.github.io/blog/chebyshev_gauss/

What is Chebyshev-Gauss Quadrature?
It's a numerical method to approximate the integral of a function f(x) that is weighted by

1/sqrt(1-x^2)

over the interval [-1, 1]. The approximation is a simple sum:

∫ f(x)/sqrt(1-x^2) dx ≈ (π/n) * Σ f(xᵢ)

where xᵢ are special points called Chebyshev nodes.

How is this applied to a Moving Average?
A moving average can be seen as the "mean value" of the price over a lookback window. The mean value of a function with the Chebyshev weight is calculated as:

Mean = [∫ f(x)*w(x) dx] / [∫ w(x) dx]

The math simplifies beautifully, resulting in the mean being the simple arithmetic average of the function evaluated at the Chebyshev nodes:

Mean = (1/n) * Σ f(xᵢ)

What's unique about this MA?
The Chebyshev nodes xᵢ are not evenly spaced. They are clustered towards the ends of the interval [-1, 1]. We map this interval to our lookback period. This means the moving average samples prices more intensely from the beginning and the end of the lookback window, and less intensely from the middle. This gives it a unique character, responding quickly to recent changes while also having a long "memory" of the start of the trend.

8 juin

Notes de version

Updated to use library