Presented here is code for the “Directional Movement w/Hann” indicator originally conceived by John Ehlers. The code is also published in the December 2021 issue of Trader’s Tips by Technical Analysis of Stocks & Commodities (TASC) magazine.
Ehlers continues here his exploration of the application of Hann windowing to conventional trading indicators.
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// DMH - Directional Movement using Hann Windowing // (C) 2021 John F. Ehlers // Parameters Length: 14 // Vars once DMH = 0 once EMA = 0 once SF = 1 / Length if barindex > Length then UpperMove = High - High[1] LowerMove = Low[1] - Low PlusDM = 0 MinusDM = 0 If UpperMove > LowerMove and UpperMove > 0 Then PlusDM = UpperMove ElsIf LowerMove > UpperMove and LowerMove > 0 Then MinusDM = LowerMove endif EMA = SF*(PlusDM - MinusDM) + (1 - SF)* EMA[1] //Smooth Directional Movements with Hann Windowed FIR filter DMSum = 0 coef = 0 For count = 1 to Length do DMSum = DMSum + (1 - cos(360*count / (Length + 1)))*EMA[count - 1] coef = coef + (1 - cos(360*count / (Length + 1))) next If coef <> 0 Then DMH = DMSum / coef endif endif return DMH as "DMH", 0 as "0" |
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