Here is the new DSMA moving average made my John Ehlers and featured in the July 2018 issue of TASC magazine.

The DSMA is an adaptive moving average that features rapid adaptation to volatility in price movement.
It accomplishes this adaptation by modifying the alpha term of an EMA byt he amplitude of an oscillator scaled in standard deviations from the mean. The DSMA’s responsiveness can be changed by using different values for the input parameter period.

John Ehlers

//PRC_Deviation Scaled Moving Average | indicator
//15.06.2018
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge

// --- settings
Period = 40
// --- end of settings

If barindex>Period Then
 //Smooth with a Super Smoother
 a1 = exp(-1.414*3.14159 / (.5*Period))
 b1 = 2*a1*Cos(1.414*180 / (.5*Period))
 c2 = b1
 c3 = -a1*a1
 c1 = 1 - c2 - c3
 //Produce Nominal zero mean with zeros in the transfer response
 //at DC and Nyquist with no spectral distortion
 //Nominally whitens the spectrum because of 6 dB per octave
 //rolloff
 Zeros = Close - Close[2]
 //SuperSmoother Filter
 Filt = c1*(Zeros + Zeros[1]) / 2 + c2*Filt[1] + c3*Filt[2]
 //Compute Standard Deviation
 RMS = 0
 For count = 0 to Period - 1 do
  RMS = RMS + Filt[count]*Filt[count]
 next
 RMS = SqRt(RMS / Period)
 //Rescale Filt in terms of Standard Deviations
 ScaledFilt = Filt / RMS
 alpha1 = Abs(ScaledFilt)*5 / Period
 DSMA = alpha1*Close + (1 - alpha1)*DSMA[1]
endif

return DSMA