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...
Holt Exponential Moving Average indicator script.
This indicator was originally developed by Charles C. Holt (International Journal of Forecasting 20(1):5-10, March 2004: Forecasting seasonals and trends by exponentially weighted moving averages).
"You don’t put sunscreen when there is no sun, you don’t use an umbrella when there is no rain, you don’t use a kite when there is no wind, so why would you use a trend following strategy when there is no trend ?"
This is how i start my 4th paper "A New Technical Indicator For Optimal Markets Detection" where i present two new technical indicators....
Standard Pivot (HLC3) with ATR leeway added to make it adaptive to market volatility.
Adaptive Pivot is an indicator utilizing the simplicity of HLC3 Pivots as a turning point (and sometimes a trend indicator) while addressing it's fixed and inflexible nature.
Because the indicator is just a single line in the chart, the price may go near...
This is my latest bandpass filter - used to determine if a security is in a trend or cycle.
Now with an adaptive period setting! I use Ehlers in-phase & quadrature dominant cycle measurement (IQ IFM) method to set the period dynamically.
This method favors longer periods which tend to produce smoother, albeit laggier bandpass oscillator plots. From my quick tests,...
I am working on this adaptive SMA. It has its pros and cons. It is a work in progress and I welcome any one that wants to add or change it. If you add or make positive changes please let me know. It is based off of daily range. Currently it is set to the open three days prior to the current open.
@ChartArt got my attention to this idea.
This type of moving average was originally developed by Michael R. Bryant (Adaptrade Software newsletter, April 2014). Mr. Bryant suggested a new approach, so called Variable Efficiency Ratio (VER), to obtain adaptive behaviour for the moving average. This approach is based on Perry Kaufman' idea with Efficiency Ratio (ER)...
This is a modification of an old indicator i made. This filter aim to adapt to market trend by creating a smoothing constant using highest and lowest functions. This filter is visually similar to the edge-preserving filter, this similarity can make this filter quite good for MA cross strategies.
On The Filter Code
a = nz(a) + alpha*nz(error) +...
About This Indicator
This was one of my first indicators, its also the first indicator i made a preprint paper about, i strongly encourage you to read the paper i made here : hal.archives-ouvertes.fr
Dont be triggered by the lack of quality of the paper, i only did it for fun. I might further develop this preprint thus ending with...
Adapt To The Right Situation
There are already some Adaptive Stochastic scripts out there, but i didn't see the concept of using different periods highest/lowest for their calculations. What we want
for such oscillator is to be active when price is trending and silent during range periods. Like that the information we will see will be clear and easy to...
Technical indicators often have parameters settings that the user must enter, those are inconvenient when the user must design a strategy because such settings must be optimized, it must also been noted that the optimal settings at time t could change at time t+n, this is why non parametric indicators are more efficient. Today i propose a moving...
Edge-preserving smoothing is often used in image processing in order to preserve edge information while filtering the remaining signal. I introduce two concepts in this indicator, edge preservation and an adaptive cumulative average allowing for fast edge-signal transition with period increase over time. This filter have nothing to do with classic...
The last of Ehlers Instantaneous Frequency Measurement methods.
This is a more robust version of this script.
I wrote it as a function, so you can simply copy and paste it into any script to add an adaptive period setting capability.
I have been asked by @Coppermine and @Verbena to make bands that use volume to provide adaptive results. My first approach was to use exponential averaging, in order to do so i needed to quantify volume movement using rescaling with the objective to make the bands go away from each others when there is low volume, this approach is efficient and can...
Another Adaptive Filter
This indicator share the same structure as a classic adaptive filter using an exponential window with a smoothing constant.
However the smoothing constant used is different than any previously made (Kalman Gain, Efficiency ratio, Scaled Fractal Dimension Index),
here the smoothing constant is inspired by the different formulations for...