Low Frequency Filter Moving Average (LFFMA)
April 12, 2017, 12:48 PM
Indicators
7 Comments
This Moving Average is based on RC filter commonly used in electronic. I needed some sort of Moving Average able to cut waves below defined frequencies and with lower intensity. This Moving Average uses one filter based on amplitude (ATR) and one filter based of frequency (all the waves with period smaller than 3.5 times the period of the filter will be cut). The result is a Moving Average that gives some good trend indications. We go long on the blue line and short on the red.
Blue skies!!
//Filter on amplitude based on ATR and filter
//on wave period based on the tau factor.
//This filter should disregard all the waves
//with a period of less than tau
once v=0
once b=1
once input=medianprice
if barindex>15 then
a=averagetruerange[periodo](close)
tau=periodofiltro/3.5
if (abs(MedianPrice-v[1]))<=(a) then
input=input[1]
b=b[1]+1
else
input=MedianPrice-v[1]
b=1
endif
v=v[1]+(Input*(1-exp(-b/tau)))
endif
if v>=v[1] then
r=0
g=0
b=255
else
r=255
g=0
b=0
endif
return v coloured (r,g,b), close as "close"
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Filename:
Mio-LFFMA.itf
Downloads:
241
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