//
//+------------------------------------------------------------------+
// FractalAMA
//
// Description: Fractal Adaptive Moving Average - by John Ehlers
// Version 1.1 7/17/2006
//
// Heavily modified and reprogrammed by Matt Kennel (mbkennelfx@gmail.com)
//
// Notes:
// October 2005 Issue - "FRAMA - Fractal Adaptive Moving Average"
// Length will be forced to be an even number. Odd numbers will be bumped up to the
// next even number.
// Formula Parameters: Defaults:
// RPeriod 16
#property copyright "Copyright © 2005, MrPip " // and mbkennel
#property link "http://www.metaquotes.net/"
//---- indicator settings
#property indicator_chart_window
#property indicator_buffers 2
#property indicator_color1 Red
#property indicator_color2 Blue
//---- buffers
double ExtMapBuffer1[];
double ExtMapBuffer2[];
extern int RPeriod = 16;
extern double multiplier = 4.6;
extern double signal_multiplier = 2.5;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- 1 additional buffers are used for counting.
IndicatorBuffers(2);
//---- drawing settings
SetIndexBuffer(0,ExtMapBuffer1);
SetIndexStyle(0,DRAW_LINE,STYLE_SOLID,2);
SetIndexShift(0,0);
IndicatorDigits(MarketInfo(Symbol(),MODE_DIGITS));
SetIndexBuffer(1,ExtMapBuffer2);
SetIndexStyle(1,DRAW_LINE,STYLE_SOLID,2);
SetIndexShift(1,0);
//---- initialization done
return(0);
}
int start()
{
int i,k,counted_bars=IndicatorCounted();
if (Bars < RPeriod) return(0);
Comment("Bars : ",Bars);
int maxshift = Bars-RPeriod-1;
int limit= maxshift - counted_bars;
if (limit < 1) limit = 1;
int N = MathFloor(RPeriod/2)*2; // Force N to even number
double frama = Close[maxshift];
double signal = frama;
ExtMapBuffer1[maxshift] = Close[maxshift];
ExtMapBuffer2[maxshift] = Close[maxshift];
for(int shift = limit-1; shift >= 0; shift--) {
double dimension_estimate = DEst(shift,N);
double alpha = MathExp(-multiplier*(dimension_estimate-1.0));
double alphas = MathExp(-signal_multiplier*(dimension_estimate-1.0));
if (alpha > 1.0) alpha = 1.0;
if (alpha < 0.01) alpha = 0.01;
if (alphas > 1.0) alphas = 1.0;
if (alphas < 0.01) alphas = 0.01;
frama = alpha* Close[shift] + (1.0-alpha)* ExtMapBuffer1[shift+1];
signal = alphas * frama + (1.0 - alphas)* ExtMapBuffer2[shift+1];
ExtMapBuffer1[shift] = frama;
ExtMapBuffer2[shift] = signal;
}
return(0);
}
double DEst(int shift, int n) {
//
double R1, R2, R3;
int n2 = n/2;
R3 = Range(shift,n) / n;
R1 = Range(shift,n2) / n2;
R2 = Range(shift+n2,n2) / n2;
return( (MathLog(R1+R2)-MathLog(R3) )* 1.442695 ) ; // log_2(e) = 1.442694
}
double Range(int i, int k) {
return( High[Highest(NULL,0,MODE_HIGH,k,i)] - Low[Lowest(NULL,0,MODE_LOW,k,i)] );
}
Sample
Analysis
Market Information Used:
Series array that contains close prices for each bar
Series array that contains the highest prices of each bar
Series array that contains the lowest prices of each bar
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features: