Shizaru

Fractal Adaptive Moving Average (real one)

Ignore the other one (it contains some errors).

On this FRAMA you can play with length, SC and FC .
Just read on below links to understand more about this super useful moving average:
  • http://etfhq.com/blog/2010/09/30/fractal-adaptive-moving-average-frama/
  • http://etfhq.com/blog/2010/10/09/frama-is-it-effective/
  • http://www.quantshare.com/item-1258-fractal-adaptive-moving-average-frama
Rimuovi dagli script preferiti Aggiungi agli script preferiti
//@version=2
study("Fractal Adaptive Moving Average",shorttitle="FRAMA",overlay=true)
price = input(hl2)
len = input(defval=16,minval=1)
FC = input(defval=1,minval=1)
SC = input(defval=198,minval=1)
len1 = len/2
w = log(2/(SC+1))
H1 = highest(high,len1)
L1 = lowest(low,len1)
N1 = (H1-L1)/len1
H2 = highest(high,len)[len1]
L2 = lowest(low,len)[len1]
N2 = (H2-L2)/len1
H3 = highest(high,len)
L3 = lowest(low,len)
N3 = (H3-L3)/len
dimen1 = (log(N1+N2)-log(N3))/log(2)
dimen = iff(N1>0 and N2>0 and N3>0,dimen1,nz(dimen1[1]))
alpha1 = exp(w*(dimen-1))
oldalpha = alpha1>1?1:(alpha1<0.01?0.01:alpha1)
oldN = (2-oldalpha)/oldalpha
N = (((SC-FC)*(oldN-1))/(SC-1))+FC
alpha_ = 2/(N+1)
alpha = alpha_<2/(SC+1)?2/(SC+1):(alpha_>1?1:alpha_)
out = (1-alpha)*nz(out[1]) + alpha*price
plot(out,title="FRAMA",color=blue,transp=0)

Commenti

can you please explain how to use it for trading ?
+6 Rispondi
I think still 1 error on line 18, is aduot Fractal Dimension ane I check for formula.

D = (Log(HL1 + HL2) – Log(HL)) / Log(2)

XXXX Note: Log(2) = Log(N / (½N)) XXXXX ___ Look at Log(2) _____

HL1 = (Max(High,½N..N) – Min(Low,½N..N)) / ½N

HL2 = (Max(High,½N) – Min(Low,½N)) / ½N

HL = (Max(High,N) – Min(Low,N)) / N

N = Periods

If D < 1 then D = 1

If D > 2 then D = 2
+1 Rispondi
janfry MarcoValente
Has the @Shizaru indicator been updated with this correction?
+2 Rispondi
janfry janfry
Ok MarcoValente told me that in the they found out that there is no need for this change, it's exactly the same.
Rispondi
janfry janfry
...therefore the indicator works as it is.
+2 Rispondi
Thanks for update on FRAMA.
Rispondi
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