Fourier Moving Average

Tradovate Trader includes some third-party libraries that can be helpful for indicators.

Lodash is a very popular and high-performance library to work with arrays and objects. All you need to do is to include const lodash = require("lodash") in your module.

Another is a library for Fast Fourier Transform. Here is an example of how to apply this library to build a moving average that calculated as FFT of input data, a filter of high frequencies, and inverse FFT.

const predef = require("./tools/predef");
const FFT = require("fft");

class fourierMA {
   init() {
       const period = this.props.period;
       this.fft = FFT(period);
       this.signal = new Array(period);
       this.zero = new Array(period);
       for(let i=0; i<period; ++i) {
           this.zero[i] = 0.0;
       }
       this.lastIndex = -1;
   }

   map(d, index) {
       const period = this.props.period;
       const value = d.value();

       if (index < period) {
           this.signal[period - index - 1] = value;
       }
       else {
           if (this.lastIndex < index) {
               this.signal.pop();
               this.signal.unshift(value);
           }
           else {
               this.signal[0] = value;
           }
       }

       this.lastIndex = index;

       if (index >= period) {
           const re = [].concat(this.signal);
           const im = [].concat(this.zero);
           this.fft.fft1d(re, im);

           const middle = period / 2 + 1;
           const startFreq = this.props.filterFreqStart;
           for(let i=startFreq; i<middle; ++i) {
               re[i] = im[i] = 0.0;
               re[period - i] = im[period - i] = 0.0;
           }
           this.fft.ifft1d(re, im);

           return re[0];
       }
   }
}

module.exports = {
   name: "fourierMA",
   description: "Fourier MA",
   calculator: fourierMA,
   params: {
       period: predef.paramSpecs.period(64),
       filterFreqStart: predef.paramSpecs.period(16),
   },
   tags: ["My Indicators"],
};