Fractal Adaptive Moving Average
Settings:
FRAMA seems to be the evolution of the current and much-used EMA. The basic strategy is simple: long if the price crosses up the line, short or exit if vice versa.
The main difference between EMA and FRAMA is that the first one seems to lag much more than the first one, as we can see from the chart below (crude oil daily chart)
FYI
- FRAMA: blue line, SC = 252, FC = 40, length = 252
- EMA: orange line, length = 50
FRAMA seems to be the evolution of the current and much-used EMA. The basic strategy is simple: long if the price crosses up the line, short or exit if vice versa.
The main difference between EMA and FRAMA is that the first one seems to lag much more than the first one, as we can see from the chart below (crude oil daily chart)
FYI
//@version=2
study("Fractal Adaptive Moving Average",shorttitle="FRAMA",overlay=true)
price = close
len = input(defval=252,minval=1)
FC = input(defval=40,minval=1)
SC = input(defval=252,minval=1)
w = log(2/(SC+1))
len1 = len/2
H1 = highest(high,len1)
L1 = lowest(low,len1)
N1 = (H1 - L1)/len1
H2 = for i = len1+1 to len
high>high[i]?high:high[i]
L2 = for i = len1+1 to len
low>low[i]?low:low[i]
N2 = (H2 - L2)/len1
H3 = highest(high,len)
L3 = lowest(low,len)
N3 = (H1 - L1)/len
dimen = (log(H1+H2) - log(H3))/log(2)
oldalpha = exp(w*(dimen-1))
oldN = (2-oldalpha)/oldalpha
newN = ((SC-FC)*(oldN-1)/(SC-1))+FC
alpha = 2/(newN+1)
out = nz(out[1])*(1-alpha) + price*alpha
plot(out,title="FRAMA")