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函数，那将会很有帮助

Answer 1

Ok伙计们，我做了更多的学习和研究，以找到寻找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

一旦完成，计算抛物线SAR的工作将会更新。 感谢