// //+------------------------------------------------------------------+ // 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)] ); }