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Fractal_AMA.mq4

Time: 2012-04-27 | Download file:Fractal_AMA.mq4

//
//+------------------------------------------------------------------+
// FractalAMA
//
// Description:  Fractal Adaptive Moving Average - by John Ehlers
// Version 1.1 7/17/2006
//
// Heavily modified and reprogrammed by Matt Kennel ([email protected])
//
// 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)] ); 
}

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