Fractal Adaptive Moving Average (real one)
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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:
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
//@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)
Comments
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