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errore di programmazione
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//--------- EXPLANATION ---------------------------------------------------------------- // "Machine learning strategy " of best crossing strategy of 69 different averages // The strategy is simple // if first average crosses above second avarage, go buy long // and vice versa first average crosses under second avarage, sell short // To protect the position, a stop loss (TSL) is set TSL = round(100/10000*close) // Exit the position in the afternoon at 16:00 hr (Defparam flatafter = 160000) // This program is limmited to only one trade per day OTD = Barindex - TradeIndex(1) > IntradayBarIndex, TradeIndex(3) would allow 2 openingstrades per day, TradeIndex(5) would allow 3 trades per day, and so on. // Opening trades only between 8:00 and 11:30, for American trades other times can be set. // There are 69 different types of averages, (listed below), which are used to cross each other (MAType crossing MATypeV2) //To limit Zigzagging of the averages due to market noise, an exponential average of 30 is added before the crossing condition is measured(wAFR = exponentialaverage[30](AFR) and wAFRv2 = exponentialaverage[30](AFRv2)) // To limit the possibilities, the period is set for all average types to 15 (Period = 15, Period2 = 15), you may adjust the period used // You can experiment with a different stop or a trailing stop // Be aware that if you use this "machine learning" on a small set of data, the outcome will be overoptimized and you will find a different optimised set for a different small set of data. // The code is extremely long (> 7.000 lines, due to defining 69 and 69 different averages. The crossing strategy can be found at the last rows ! I was not aware this is possible in PRT //------------------------------------------------------------------------- DEFPARAM cumulateOrders = False // Cumulating positions deactivate DEFPARAM FLATAFTER = 160000 //close the position at 16:00 (day trading) /could be switched of 16 once StartE = 80000 //start time for opening positions once StartL = 113000 //ending time for opening positions (only trading in the morning) once N = 1 // number of contracts once Period = 15 //period1 // // set fixed to limit possible combinations of optimisations once Period2 = 15 // period2 second set of 69 averages // // set fixed to limit possible combinations of optimisations Series = (open+high+low+Close)/4 // kind of close of a bar Seriesv2 = (open+high+low+Close)/4 // kind of close of a bar OTD = Barindex - TradeIndex(1) > IntradayBarIndex // limits the (opening) trades till 1 per day (OTD One Trade per Day) TSL = round(100/10000*close) // dynamic trailing stop loss 1 % ///69 averages to be compared with the same 69 avarages to select best cross over combination// //---------------------------------------// // AFR - Average Filter Regression // // // // Contact: laurenzo(at)gargamail(dot)net // //---------------------------------------// //0. Ahrens Moving Average// // 1. Adjustable Lag FIR // // 2. Arnaud Legoux Moving Average // // 3. 2-Pole Butterworth Smoothing Filter // // 4. 3-Pole Butterworth Smoothing Filter // // 5. Corrected Moving Average by A.Uhl // // 6. d9 Unscented Kalman Filter (Responsiveness Version) // // 7. d9 Unscented Kalman Filter // // 8. Double Exponential Moving Average // // 9. Exponential Least Square Moving Average // // 10. Exponential Moving Average // // 11. Elastic Volume Weighted Moving Average // // 12. Fast Adaptive Trend Line // // 13. Fractional-Bar Quick Moving Average // // 14. Fractal Adaptive Moving Average // // 15. Generalized DEMA // // 16. 1-Pole Gaussian Filter // // 17. 2-Pole Gaussian Filter // // 18. 3-Pole Gaussian Filter // // 19. 4-Pole Gaussian Filter // // 20. Hull Moving Average // // 21. IE/2 Combination of LSMA and ILRS // // 22. Integral of Linear Regression Slope // // 23. iTrend by John Ehlers // // 24. Jurik Moving Average (Responsiveness Version) // // 25. Jurik Moving Average // // 26. Kaufman Adaptive Moving Average // // 27. Kalman Filter by John Ehlers // // 28. Kalman Filter (Responsiveness Version) // // 29. Kalman Filter // // 30. Leader Exponential Moving Average // // 31. Laguerre Filter by John Ehlers // // 32. Least Square Moving Average // // 33. McGinley Dynamic // // 34. Middle High Low Range Moving Average // // 35. McNicholl Moving Average // // 36. Non Lag Moving Average (Responsiveness Version) // // 37. Non Lag Moving Average // // 38. One More Average // // 39. Pentuple Exponential Moving Average // // 40. Parabolic Weighted Moving Average // // 41. Quadruple Exponential Moving Average // // 42. Regularized EMA by Chris Satchwell // // 43. Reference Fast Trend Line // // 44. Reference Slow Trend Line // // 45. Slow Adaptive Trend Line // // 46. Simple Moving Average // // 47. 2-Pole Super Smoothing Filter // // 48. 3-Pole Super Smoothing Filter // // 49. Smoothed Simple Moving Average // // 50. Sine Weighted Moving Average // // 51. T3 Moving Average // // 52. Triple Exponential Moving Average // // 53. Triangular Moving Average // // 54. Time Series Average // // 55. Variable Index Dynamic Average // // 56. Variable Moving Average // // 57. Volume Weighted Average Price // // 58. Wilder Moving Average // // 59. Weighted Least Square Moving Average // // 60. Weighted Moving Average // // 61. Zero Lag BMT // // 62. Zero Lag Double Exponential Moving Average // // 63. Zero Lag FIR Filter // // 64. Zero Lag IIR Filter // // 65. Zero Lag John Ehlers // // 66. Zero Lag Weighted BMT // // 67. Range based AV high + STD - low - STD // 68. Average highest [period] and lowest[period] // 69 DEMA adjusted by itself //------------------------------// // AHMA - Ahrens Moving Average // //------------------------------// IF MAType = 0 THEN Period = MAX(Period, 1) IF BarIndex < Period THEN AFR = Series ELSE AFR = AFR[1] + ((Series - ((AFR[1] + AFR[Period]) / 2)) / Period) ENDIF ENDIF //----------------------------// // ALFIR - Adjustable Lag FIR // //----------------------------// IF MAType = 1 THEN // Lag = 0.7 ({-2.5...2.5}) Lag = 0.7 AFR = (Series + (2 + Lag) * Series[1] + (3 + Lag) * Series[2] + 3 * Series[3] + (2 - Lag) * Series[4] + (1 - Lag) * Series[5] + (0 - Lag) * Series[6]) / (12 - Lag) ENDIF //-------------------------------------// // ALMA - Arnaud Legoux Moving Average // //-------------------------------------// IF MAType = 2 THEN Period = MAX(Period, 1) // Sigma = 6 ({0..30}) // Offset = 0.85 ({0..1}) Sigma = 6 Offset = 0.85 m = ROUND(Offset * (Period - 1)) s = Period / Sigma WtdSum = 0 CumWt = 0 FOR k = 0 TO Period - 1 DO Wtd = EXP(-((k - m) * (k - m)) / (2 * s * s)) WtdSum = WtdSum + Wtd * Series[Period - 1 - k] CumWt = CumWt + Wtd NEXT IF CumWt <= 0 THEN AFR = Series ELSE AFR = WtdSum / CumWt ENDIF ENDIF //---------------------------------------------// // BSF2P - 2-Pole Butterworth Smoothing Filter // //---------------------------------------------// IF MAType = 3 THEN Period = MAX(Period, 1) a1 = EXP(-1.414 * 3.14159 / Period) b1 = 2 * a1 * COS(1.414 * 180 / Period) coef2 = b1 coef3 = -a1 * a1 coef1 = (1 - b1 + a1 * a1) / 4 IF BarIndex < 2 THEN AFR = Series ELSE AFR = coef1 * (Series + 2 * Series[1] + Series[2]) + coef2 * AFR[1] + coef3 * AFR[2] ENDIF ENDIF //---------------------------------------------// // BSF3P - 3-Pole Butterworth Smoothing Filter // //---------------------------------------------// IF MAType = 4 THEN Period = MAX(Period, 1) a1 = EXP(-3.14159 / Period) b1 = 2 * a1 * COS(1.738 * 180 / Period) c1 = a1 * a1 coef2 = b1 + c1 coef3 = -(c1 + b1 * c1) coef4 = c1 * c1 coef1 = (1 - b1 + c1) * (1 - c1) / 8 IF BarIndex < 3 THEN AFR = Series ELSE AFR = coef1 * (Series + 3 * Series[1] + 3 * Series[2] + Series[3]) + coef2 * AFR[1] + coef3 * AFR[2] + coef4 * AFR[3] ENDIF ENDIF //-----------------------------------------// // CMA - Corrected Moving Average by A.Uhl // //-----------------------------------------// IF MAType = 5 THEN Period = MAX(Period, 1) IF BarIndex < Period THEN AFR = Series ELSE MA = Average[Period](Series) v1 = SQUARE(STD[Period](Series)) v2 = SQUARE(AFR[1] - MA) IF v2 < v1 OR v2 = 0 THEN K = 0 ELSE K = 1 - v1 / v2 ENDIF AFR = AFR[1] + K * (MA - AFR[1]) ENDIF ENDIF //-------------------------------------------------------------// // d9UKF - d9 Unscented Kalman Filter (Responsiveness Version) // //-------------------------------------------------------------// IF MAType = 6 THEN // Init Period = MAX(Period, 2) // longAvgWindow = 65 ({40..200}) longAvgWindow = 65 // permissivity = {0..3} permissivity = 2 windowLength = 0.5 * (Period - 1) // FIX LOG - LOG(SQRT(windowLength)) / LOG(2) + 2 lengthParam = (LOG(SQRT(windowLength)) / LOG(10)) / (LOG(2) / LOG(10)) + 2 IF (lengthParam < 0) THEN lengthParam = 0 ENDIF expFactor = lengthParam - 2 IF (expFactor < 0.5) THEN expFactor = 0.5 ENDIF sigma = SQRT(windowLength) * lengthParam beta = sigma / (sigma + 1) data = Average[1](Series) // AverageVMA(Input, 1, 1)[0]; //SMA(Input, 1)[0]; IF (BarIndex < 10) THEN vxCum = 0 hInterval = data lInterval = data Filt0 = data Filt1 = data AFR = data ELSE uDelta = data - hInterval[1] uAbs = ABS(uDelta) lDelta = data - lInterval[1] lAbs = ABS(lDelta) IF (uAbs > lAbs) THEN vx = uAbs ELSIF (uAbs < lAbs) THEN vx = lAbs ELSIF (uAbs = lAbs) THEN vx = 0 ENDIF vxCum = vxCum[1] + 0.1 * (vx - vx[10]) IF (BarIndex <= longAvgWindow + 1) THEN avgVx = avgVx[1] + 2.0 * (vxCum - avgVx[1]) / (longAvgWindow + 1) ELSE // SMA(_vxCum, _longAvgWindow) avgVx = Average[longAvgWindow](vxCum) // SMA(_vxCum, _longAvgWindow) ENDIF IF (avgVx > 0) THEN vxCoeff = vx / avgVx ENDIF // FIX Power - Power(lengthParam, 1.0 / expFactor) IF (EXP((1.0 / expFactor) * LOG(lengthParam))) THEN vxCoeff = EXP((1.0 / expFactor) * LOG(lengthParam)) ENDIF IF (vxCoeff < 1) THEN vxCoeff = 1 ENDIF // FIX Power - Power(vxCoeff, expFactor) vExp = EXP((expFactor) * LOG(vxCoeff)) // FIX Power - Power(beta, SQRT(vExp)) kV = EXP(SQRT(vExp) * LOG(beta)) IF (uDelta > 0) THEN hInterval = data ELSE hInterval = data - kV * uDelta ENDIF IF (lDelta < 0) THEN lInterval = data ELSE lInterval = data - kV * lDelta ENDIF gamma = 0.45 * (Period - 1) / (0.45 * (Period - 1) + 2) // FIX Power - Power(gamma, vExp) alpha = EXP((vExp) * LOG(gamma)) Filt0 = (1 - alpha) * data + alpha * Filt0[1] Det0 = (data - Filt0[0]) * (1 - gamma) + gamma * Det0[1] Filt1 = Filt0[0] + permissivity * Det0[0] Det1 = (Filt1[0] - AFR[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFR = AFR[1] + Det1[0] ENDIF ENDIF //------------------------------------// // d9UKF - d9 Unscented Kalman Filter // //------------------------------------// IF MAType = 7 THEN // Init Period = MAX(Period, 2) // longAvgWindow = {40..200} longAvgWindow = 65 // permissivity = {0..3} permissivity = 1.25 windowLength = 0.5 * (Period - 1) // FIX LOG - LOG(SQRT(windowLength)) / LOG(2) + 2 lengthParam = (LOG(SQRT(windowLength)) / LOG(10)) / (LOG(2) / LOG(10)) + 2 IF (lengthParam < 0) THEN lengthParam = 0 ENDIF expFactor = lengthParam - 2 IF (expFactor < 0.5) THEN expFactor = 0.5 ENDIF sigma = SQRT(windowLength) * lengthParam beta = sigma / (sigma + 1) data = Average[1](Series) // AverageVMA(Input, 1, 1)[0]; //SMA(Input, 1)[0]; IF (BarIndex < 10) THEN vxCum = 0 hInterval = data lInterval = data Filt0 = data Filt1 = data AFR = data ELSE uDelta = data - hInterval[1] uAbs = ABS(uDelta) lDelta = data - lInterval[1] lAbs = ABS(lDelta) IF (uAbs > lAbs) THEN vx = uAbs ELSIF (uAbs < lAbs) THEN vx = lAbs ELSIF (uAbs = lAbs) THEN vx = 0 ENDIF vxCum = vxCum[1] + 0.1 * (vx - vx[10]) IF (BarIndex <= longAvgWindow + 1) THEN avgVx = avgVx[1] + 2.0 * (vxCum - avgVx[1]) / (longAvgWindow + 1) ELSE // SMA(_vxCum, _longAvgWindow) avgVx = Average[longAvgWindow](vxCum) // SMA(_vxCum, _longAvgWindow) ENDIF IF (avgVx > 0) THEN vxCoeff = vx / avgVx ENDIF // FIX Power - Power(lengthParam, 1.0 / expFactor) IF (EXP((1.0 / expFactor) * LOG(lengthParam))) THEN vxCoeff = EXP((1.0 / expFactor) * LOG(lengthParam)) ENDIF IF (vxCoeff < 1) THEN vxCoeff = 1 ENDIF // FIX Power - Power(vxCoeff, expFactor) vExp = EXP((expFactor) * LOG(vxCoeff)) // FIX Power - Power(beta, SQRT(vExp)) kV = EXP(SQRT(vExp) * LOG(beta)) IF (uDelta > 0) THEN hInterval = data ELSE hInterval = data - kV * uDelta ENDIF IF (lDelta < 0) THEN lInterval = data ELSE lInterval = data - kV * lDelta ENDIF gamma = 0.45 * (Period - 1) / (0.45 * (Period - 1) + 2) // FIX Power - Power(gamma, vExp) alpha = EXP((vExp) * LOG(gamma)) Filt0 = (1 - alpha) * data + alpha * Filt0[1] Det0 = (data - Filt0[0]) * (1 - gamma) + gamma * Det0[1] Filt1 = Filt0[0] + permissivity * Det0[0] Det1 = (Filt1[0] - AFR[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFR = AFR[1] + Det1[0] ENDIF ENDIF //------------------------------------------// // DEMA - Double Exponential Moving Average // //------------------------------------------// IF MAType = 8 THEN Period = MAX(Period, 1) AFR = DEMA[Period](Series) ENDIF //-------------------------------------------------// // ELSMA - Exponential Least Square Moving Average // //-------------------------------------------------// IF MAType = 9 THEN Period = MAX(Period, 1) // NumBars = 4 NumBars = 4 LR = LinearRegression[NumBars](Series) AFR = ExponentialAverage[Period](LR) ENDIF //----------------------------------// // EMA - Exponential Moving Average // //----------------------------------// IF MAType = 10 THEN Period = MAX(Period, 1) AFR = ExponentialAverage[Period](Series) ENDIF //------------------------------------------------// // EVWMA - Elastic Volume Weighted Moving Average // //------------------------------------------------// IF MAType = 11 THEN Period = MAX(Period, 1) IF BarIndex < Period THEN AFR = Series ELSE SumVol = summation[Period](Volume) IF SumVol = 0 THEN SumVol = 1 ENDIF AFR = ((SumVol - Volume) * AFR + Volume * Series) / SumVol ENDIF ENDIF //---------------------------------// // FATL - Fast Adaptive Trend Line // //---------------------------------// IF MAType = 12 THEN AFR = 0.4360409450*Series[0]+0.3658689069*Series[1]+0.2460452079*Series[2]+0.1104506886*Series[3]-0.0054034585*Series[4]-0.0760367731*Series[5]-0.0933058722*Series[6]-0.0670110374*Series[7]-0.0190795053*Series[8]+0.0259609206*Series[9]+0.0502044896*Series[10]+0.0477818607*Series[11]+0.0249252327*Series[12]-0.0047706151*Series[13]-0.0272432537*Series[14]-0.0338917071*Series[15]-0.0244141482*Series[16]-0.0055774838*Series[17]+0.0128149838*Series[18]+0.0226522218*Series[19]+0.0208778257*Series[20]+0.0100299086*Series[21]-0.0036771622*Series[22]-0.0136744850*Series[23]-0.0160483392*Series[24]-0.0108597376*Series[25]-0.0016060704*Series[26]+0.0069480557*Series[27]+0.0110573605*Series[28]+0.0095711419*Series[29]+0.0040444064*Series[30]-0.0023824623*Series[31]-0.0067093714*Series[32]-0.0072003400*Series[33]-0.0047717710*Series[34]+0.0005541115*Series[35]+0.0007860160*Series[36]+0.0130129076*Series[37]+0.0040364019*Series[38] ENDIF //---------------------------------------------// // FBQMA - Fractional-Bar Quick Moving Average // //---------------------------------------------// IF MAType = 13 THEN Period = MAX(Period, 1) Peak = Period / 3 Num = 0 Denom = 0 FOR j = 1 TO (Period + 1) DO IF j <= Peak THEN DataArray = j / Peak ELSE DataArray = (Period + 1 - j) / (Period + 1 - Peak) Num = Num + Series[j - 1] * DataArray Denom = Denom + DataArray ENDIF NEXT IF Denom <= 0 THEN AFR = Series ELSE AFR = Num / Denom ENDIF ENDIF //-----------------------------------------// // FRAMA - Fractal Adaptive Moving Average // //-----------------------------------------// IF MAType = 14 THEN Period = MAX(Period, 1) N3 = (highest[Period](High) - lowest[Period](Low)) / Period mH = High L = Low FOR count = 0 TO (Period / 2) - 1 DO count = ROUND(count) IF High[count] > mH THEN mH = High[count] ENDIF IF Low[count] < L THEN L = Low[count] ENDIF NEXT N1 = (mH - L) / (Period / 2) HH = High[ROUND(Period / 2)] LL = Low[ROUND(Period / 2)] FOR count = Period / 2 TO Period - 1 DO count = ROUND(count) IF High[count] > HH THEN HH = High[count] ENDIF IF Low[count] < LL THEN LL = Low[count] ENDIF NEXT N2 = (HH - LL) / (Period / 2) IF N1 > 0 AND N2 > 0 AND N3 > 0 THEN // FIX LOG Dimen = ((LOG(N1 + N2) / LOG(10)) - (LOG(N3) / LOG(10))) / (LOG(2) / LOG(10)) ENDIF alpha = EXP(-4.6 * (Dimen - 1)) IF alpha < 0.01 THEN alpha = 0.01 ELSIF alpha > 1 THEN alpha = 1 ENDIF IF BarIndex < Period THEN AFR = Series ELSE AFR = alpha * Series + (1 - alpha) * AFR[1] ENDIF ENDIF //--------------------------// // GDEMA - Generalized DEMA // //--------------------------// IF MAType = 15 THEN Period = MAX(Period, 1) // VFactor = 0.7 ({-2.5..2.5}) VFactor = 0.7 EMA0 = ExponentialAverage[Period](Series) EMA1 = ExponentialAverage[Period](EMA0) AFR = EMA0 * (1 + VFactor) - EMA1 * VFactor ENDIF //-------------------------------// // GF1P - 1-Pole Gaussian Filter // //-------------------------------// IF MAType = 16 THEN Period = MAX(Period, 2) IF BarIndex = 0 THEN w = 2 * 3.141592654 / Period w = 180 * w / 3.141592654 b = (1 - COS(w)) / (1.41421 - 1) aa = -b + SQRT(b * b + 2 * b) a1 = 1 - aa y1 = Series ENDIF y = aa * Series + a1 * y1 y1 = y AFR = y ENDIF //-------------------------------// // GF2P - 2-Pole Gaussian Filter // //-------------------------------// IF MAType = 17 THEN Period = MAX(Period, 2) IF BarIndex = 0 THEN w = 2 * 3.141592654 / Period w = 180 * w / 3.141592654 b = (1 - COS(w)) / (1.41421 - 1) aa = -b + SQRT(b * b + 2 * b) a1 = 1 - aa a12 = a1 * a1 a2 = aa * aa y1 = Series y2 = y1 ENDIF y = a2 * Series + 2 * a1 * y1 - a12 * y2 y2 = y1 y1 = y AFR = y ENDIF //-------------------------------// // GF3P - 3-Pole Gaussian Filter // //-------------------------------// IF MAType = 18 THEN Period = MAX(Period, 2) IF BarIndex = 0 THEN w = 2 * 3.141592654 / Period w = 180 * w / 3.141592654 b = (1 - COS(w)) / (1.25992 - 1) aa = -b + SQRT(b * b + 2 * b) a1 = 1 - aa a12 = a1 * a1 a13 = a1 * a1 * a1 a3 = aa * aa * aa y1 = Series y2 = y1 y3 = y2 ENDIF y = a3 * Series + 3 * a1 * y1 - 3 * a12 * y2 + a13 * y3 y3 = y2 y2 = y1 y1 = y AFR = y ENDIF //-------------------------------// // GF4P - 4-Pole Gaussian Filter // //-------------------------------// IF MAType = 19 THEN Period = MAX(Period, 2) IF BarIndex = 0 THEN w = 2 * 3.141592654 / Period w = 180 * w / 3.141592654 b = (1 - COS(w)) / (1.18920 - 1) aa = -b + SQRT(b * b + 2 * b) a1 = 1 - aa a12 = a1 * a1 a13 = a1 * a1 * a1 a14 = a12 * a12 a2 = aa * aa a4 = a2 * a2 y1 = Series y2 = y1 y3 = y2 y4 = y3 ENDIF y = a4 * Series + 4 * a1 * y1 - 6 * a12 * y2 + 4 * a13 *y3 - a14 * y4 y4 = y3 y3 = y2 y2 = y1 y1 = y AFR = y ENDIF //---------------------------// // HMA - Hull Moving Average // //---------------------------// IF MAType = 20 THEN Period = MAX(Period, 1) AFR = WeightedAverage[ROUND(SQRT(Period))](2 * WeightedAverage[ROUND(Period / 2)](Series) - WeightedAverage[Period](Series)) ENDIF //-------------------------------------// // IE/2 - Combination of LSMA and ILRS // //-------------------------------------// IF MAType = 21 THEN Period = MAX(Period, 2) LR = LinearRegression[Period](Series) LRS = LinearRegressionSlope[Period](Series) SMA = Average[Period](Series) AFR = (LR + LRS + SMA) / 2 ENDIF //--------------------------------------------// // ILRS - Integral of Linear Regression Slope // //--------------------------------------------// IF MAType = 22 THEN Period = MAX(Period, 2) SumBars = Period * (Period - 1) * 0.5 SumSqrBars = Period * (Period - 1) * Period * (2 * Period - 1) / 6 IF (BarIndex < Period) then AFR = Series ELSE Sum1 = 0 SumY = 0 MA = Average[1](Series) FOR i = 0 TO Period - 1 DO Sum1 = Sum1 + (i * MA[i]) SumY = SumY + MA[i] NEXT Num1 = Period * Sum1 - SumBars * SumY Num2 = SumBars * SumBars - Period * SumSqrBars AFR = Num1 / Num2 + Average[Period](Series) ENDIF ENDIF //--------------------------------// // iTrend - iTrend by John Ehlers // //--------------------------------// IF MAType = 23 THEN // alpha = 0.0025 {0.0025..0.2} alpha = 0.005 IF BarIndex < 2 THEN AFR = Series ELSE i1 = (alpha - alpha * alpha / 4) * Series i2 = 0.5 * alpha * alpha * Series[1] i3 = (alpha - 0.75 * alpha * alpha) * Series[2] i4 = 2 * (1 - alpha) * AFR[1] i5 = (1 - alpha) * (1 - alpha) * AFR[2] AFR = i1 + i2 - i3 + i4 - i5 ENDIF ENDIF //-----------------------------------------------------// // JMA - Jurik Moving Average (Responsiveness Version) // //-----------------------------------------------------// IF MAType = 24 THEN Period = MAX(Period, 1) // Pow = 5 ({ 1..10 }) // R = 1.5 ({0.5..2.5}) Pow = 5 R = 1 beta = 0.45 * (Period - 1) / (0.45 * (Period - 1) + 2) IF Pow = 1 THEN alpha = beta ELSIF Pow = 2 THEN alpha = beta * beta ELSIF Pow = 3 THEN alpha = beta * beta * beta ELSIF Pow = 4 THEN alpha = beta * beta * beta * beta ELSIF Pow = 5 THEN alpha = beta * beta * beta * beta * beta ELSIF Pow = 6 THEN alpha = beta * beta * beta * beta * beta * beta ELSIF Pow = 7 THEN alpha = beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 8 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 9 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 10 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ENDIF IF BarIndex = 0 THEN Filt0 = Series Filt1 = Series AFR = Series ELSE Filt0 = (1 - alpha) * Series + alpha * Filt0[1] Det0 = (Series - Filt0[0]) * (1 - beta) + beta * Det0[1] Filt1 = Filt0[0] + R * Det0[0] Det1 = (Filt1[0] - AFR[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFR = AFR[1] + Det1[0] ENDIF ENDIF //----------------------------// // JMA - Jurik Moving Average // //----------------------------// IF MAType = 25 THEN Period = MAX(Period, 1) // Pow = 5 ({ 1..10 }) // R = 1.5 ({0.5..2.5}) Pow = 4 R = 1 beta = 0.45 * (Period - 1) / (0.45 * (Period - 1) + 2) IF Pow = 1 THEN alpha = beta ELSIF Pow = 2 THEN alpha = beta * beta ELSIF Pow = 3 THEN alpha = beta * beta * beta ELSIF Pow = 4 THEN alpha = beta * beta * beta * beta ELSIF Pow = 5 THEN alpha = beta * beta * beta * beta * beta ELSIF Pow = 6 THEN alpha = beta * beta * beta * beta * beta * beta ELSIF Pow = 7 THEN alpha = beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 8 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 9 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 10 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ENDIF IF BarIndex = 0 THEN Filt0 = Series Filt1 = Series AFR = Series ELSE Filt0 = (1 - alpha) * Series + alpha * Filt0[1] Det0 = (Series - Filt0[0]) * (1 - beta) + beta * Det0[1] Filt1 = Filt0[0] + R * Det0[0] Det1 = (Filt1[0] - AFR[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFR = AFR[1] + Det1[0] ENDIF ENDIF //----------------------------------------// // KAMA - Kaufman Adaptive Moving Average // //----------------------------------------// IF MAType = 26 THEN Period = MAX(Period, 4) // FastPeriod = 7 // SlowPeriod = 28 FastPeriod = 7 SlowPeriod = 28 Fastest = 2 / (FastPeriod + 1) Slowest = 2 / (SlowPeriod + 1) IF BarIndex < Period THEN AFR = Series ELSE Num = ABS(Series - Series[Period]) Den = summation[Period](ABS(Series - Series[1])) ER = Num / Den Alpha = SQUARE(ER * (Fastest - Slowest) + Slowest) AFR = (Alpha * Series) + ((1 - Alpha) * AFR[1]) ENDIF ENDIF //-------------------------------------// // KFJE - Kalman Filter by John Ehlers // //-------------------------------------// IF MAType = 27 THEN IF BarIndex < 3 THEN AFR = Series ELSE AFR = 0.33 * (Series + 0.5 * (Series - Series[3])) + 0.67 * AFR[1] ENDIF ENDIF //---------------------------------------------// // KF - Kalman Filter (Responsiveness Version) // //---------------------------------------------// IF MAType = 28 THEN // K = 1000 ({1...2000}) K = 1000 ONCE Pred = Series IF BarIndex = 0 THEN AFR = Series ELSE Smooth = Pred + (Series - Pred) * SQRT((K / 10000) * 2) Velo = Velo + ((K / 10000) * (Series - Pred)) Pred = Smooth + Velo AFR = Pred ENDIF ENDIF //--------------------// // KF - Kalman Filter // //--------------------// IF MAType = 29 THEN // K = 500 ({1...2000}) K = 500 ONCE Pred = Series IF BarIndex = 0 THEN AFR = Series ELSE Smooth = Pred + (Series - Pred) * SQRT((K / 10000) * 2) Velo = Velo + ((K / 10000) * (Series - Pred)) Pred = Smooth + Velo AFR = Pred ENDIF ENDIF //------------------------------------------// // LEMA - Leader Exponential Moving Average // //------------------------------------------// IF MAType = 30 THEN Period = MAX(Period, 1) IF BarIndex = 0 THEN p1 = Series p2 = 0 ELSE alpha = 2 / (Period + 1) p1 = p1[1] + alpha * (Series - p1[1]) p2 = p2[1] + alpha * (Series - p1 - p2[1]) ENDIF AFR = p1 + p2 ENDIF //-------------------------------------// // LF - Laguerre Filter by John Ehlers // //-------------------------------------// IF MAType = 31 THEN // gamma = 0.8 gamma = 0.8 once l0 = Series once l1 = Series once l2 = Series once l3 = Series IF BarIndex = 0 THEN AFR = Series ELSE l0 = (1 - gamma) * Series + gamma * l0[1] l1 = -gamma * l0 + l0[1] + gamma * l1[1] l2 = -gamma * l1 + l1[1] + gamma * l2[1] l3 = -gamma * l2 + l2[1] + gamma * l3[1] AFR = (l0 + 2 * l1 + 2 * l2 + l3) / 6 ENDIF ENDIF //------------------------------------// // LSMA - Least Square Moving Average // //------------------------------------// IF MAType = 32 THEN Period = MAX(Period, 2) AFR = LinearRegression[Period](Series) ENDIF //-----------------------// // MD - McGinley Dynamic // //-----------------------// IF MAType = 33 THEN Period = MAX(Period, 4) IF BarIndex = 0 THEN AFR = Series ELSE Pow = (Series / AFR[1]) * (Series / AFR[1]) * (Series / AFR[1]) * (Series / AFR[1]) AFR = AFR[1] + (Series - AFR[1]) / ((Period / 2) * Pow) ENDIF ENDIF //----------------------------------------------// // MHLMA - Middle High Low Range Moving Average // //----------------------------------------------// IF MAType = 34 THEN Period = MAX(Period, 1) // HLRange = 3 HLRange = 3 HH = highest[HLRange](High) LL = lowest[HLRange](Low) AFR = Average[Period]((HH + LL) / 2) ENDIF //---------------------------------// // MNMA - McNicholl Moving Average // //---------------------------------// IF MAType = 35 THEN Period = MAX(Period, 2) alpha = 2 / (1 + Period) IF BarIndex = 0 THEN p1 = Series p2 = Series ELSE p1 = p1[1] + alpha * (Series - p1[1]) p2 = p2[1] + alpha * (p1 - p2[1]) ENDIF AFR = (((2 - alpha) * p1 - p2) / (1 - alpha)) ENDIF //--------------------------------------------------------// // NLMA - Non Lag Moving Average (Responsiveness Version) // //--------------------------------------------------------// IF MAType = 36 THEN Period = MAX(Period, 1) // Amplitude = 1 (0...1) // Smooth = -1 (-2...2) Amplitude = 1 Smooth = 1 IF Amplitude > 0 THEN Coeff = 3 * 3.1415926535 / Amplitude ELSE Coeff = 3 * 3.1415926535 ENDIF IF Smooth < -2 THEN Smooth = 0 ENDIF vCycle = 4 vWeight = 0 vSum = 0 Phase = Period + Smooth FOR i = 0 TO ((Period * vCycle) + Phase) - 1 DO IF i <= Phase - 1 THEN IF Phase = 1 THEN x = i ELSE x = i / (Phase - 1) ENDIF ELSE x = 1.0 + (i - Phase + 1) * (2.0 * vCycle - 1.0) / (vCycle * Period - 1.0) ENDIF g = Amplitude / (Coeff * x + 1.0) IF x <= 0.5 THEN g = 1.0 ENDIF vSum = vSum + g * COS(180 * x) * Series[i] vWeight = vWeight + g * COS(180 * x) NEXT IF vWeight > 0 THEN AFR = vSum / vWeight ELSE AFR = Series ENDIF ENDIF //-------------------------------// // NLMA - Non Lag Moving Average // //-------------------------------// IF MAType = 37 THEN Period = MAX(Period, 1) // Amplitude = 0 (0...1) // Smooth = 1 (-2...2) Amplitude = 0 Smooth = 1 IF Amplitude > 0 THEN Coeff = 3 * 3.1415926535 / Amplitude ELSE Coeff = 3 * 3.1415926535 ENDIF IF Smooth < -2 THEN Smooth = 0 ENDIF vCycle = 4 vWeight = 0 vSum = 0 Phase = Period + Smooth FOR i = 0 TO ((Period * vCycle) + Phase) - 1 DO IF i <= Phase - 1 THEN IF Phase = 1 THEN x = i ELSE x = i / (Phase - 1) ENDIF ELSE x = 1.0 + (i - Phase + 1) * (2.0 * vCycle - 1.0) / (vCycle * Period - 1.0) ENDIF g = Amplitude / (Coeff * x + 1.0) IF x <= 0.5 THEN g = 1.0 ENDIF vSum = vSum + g * COS(180 * x) * Series[i] vWeight = vWeight + g * COS(180 * x) NEXT IF vWeight > 0 THEN AFR = vSum / vWeight ELSE AFR = Series ENDIF ENDIF //------------------------// // OMA - One More Average // //------------------------// IF MAType = 38 THEN // Sensibility = 1.5 Sensibility = 1.5 Period = MAX(Period, 1) Sensibility = MAX(Sensibility, -1.5) Data = Average[1](Series) averagePeriod = Period IF BarIndex < Period THEN AFR = Series ELSE IF averagePeriod > 1 THEN minPeriod = averagePeriod / 2.0 maxPeriod = minPeriod * 5.0 endPeriod = ROUND(maxPeriod) signal = ABS((Data - Data[endPeriod])) noise = 0.00000000001 FOR k = 1 TO endPeriod DO noise = noise + ABS(Data - Data[k]) averagePeriod = ROUND(((signal / noise) * (maxPeriod - minPeriod)) + minPeriod) NEXT ENDIF alpha = (2.0 + Sensibility) / (1.0 + Sensibility + averagePeriod) e1 = e1 + alpha * (Data - e1) e2 = e2 + alpha * (e1 - e2) v1 = 1.5 * e1 - 0.5 * e2 e3 = e3 + alpha * (v1 - e3) e4 = e4 + alpha * (e3 - e4) v2 = 1.5 * e3 - 0.5 * e4 e5 = e5 + alpha * (v2 - e5) e6 = e6 + alpha * (e5 - e6) AFR = 1.5 * e5 - 0.5 * e6 ENDIF ENDIF //--------------------------------------------// // PEMA - Pentuple Exponential Moving Average // //--------------------------------------------// IF MAType = 39 THEN Period = MAX(Period, 1) MA1 = ExponentialAverage[Period](Series) MA2 = ExponentialAverage[Period](MA1) MA3 = ExponentialAverage[Period](MA2) MA4 = ExponentialAverage[Period](MA3) MA5 = ExponentialAverage[Period](MA4) MA6 = ExponentialAverage[Period](MA5) MA7 = ExponentialAverage[Period](MA6) MA8 = ExponentialAverage[Period](MA7) AFR = (8 * MA1) - (28 * MA2) + (56 * MA3) - (70 * MA4) + (56 * MA5) - (28 * MA6) + (8 * MA7) - MA8 ENDIF //------------------------------------------// // PWMA - Parabolic Weighted Moving Average // //------------------------------------------// IF MAType = 40 THEN Period = MAX(Period, 1) Sum = SumW * Series SumW = Period * Period FOR i = 0 TO Period DO Weight = (Period - i) * (Period - i) SumW = SumW + Weight Sum = Sum + Weight * Series[i] NEXT AFR = Sum / SumW ENDIF //---------------------------------------------// // QEMA - Quadruple Exponential Moving Average // //---------------------------------------------// IF MAType = 41 THEN Period = MAX(Period, 1) MA1 = ExponentialAverage[Period](Series) MA2 = ExponentialAverage[Period](MA1) MA3 = ExponentialAverage[Period](MA2) MA4 = ExponentialAverage[Period](MA3) MA5 = ExponentialAverage[Period](MA4) AFR = (5 * MA1) - (10 * MA2) + (10 * MA3) - (5 * MA4) + MA5 ENDIF //-------------------------------------------// // REMA - Regularized EMA by Chris Satchwell // //-------------------------------------------// IF MAType = 42 THEN // Lambda = 0.5 ({0.5..9}) Lambda = 0.5 Period = MAX(Period, 1) Lambda = MAX(Lambda, 0) IF BarIndex < 2 THEN AFR = Series ELSE AFR = (AFR[1] * (1 + 2 * Lambda) + (2 / (Period + 1)) * (Series - AFR[1]) - Lambda * AFR[2]) / (1 + Lambda) ENDIF ENDIF //----------------------------------// // RFTL - Reference Fast Trend Line // //----------------------------------// IF MAType = 43 THEN AFR = -0.02232324*Series[0]+0.02268676*Series[1]+0.08389067*Series[2]+0.14630380*Series[3]+0.19282649*Series[4]+0.21002638*Series[5]+0.19282649*Series[6]+0.14630380*Series[7]+0.08389067*Series[8]+0.02268676*Series[9]-0.02232324*Series[10]-0.04296564*Series[11]-0.03980614*Series[12]-0.02082171*Series[13]+0.00243636*Series[14]+0.01950580*Series[15]+0.02460929*Series[16]+0.01799295*Series[17]+0.00470540*Series[18]-0.00831985*Series[19]-0.01544722*Series[20]-0.01456262*Series[21]-0.00733980*Series[22]+0.00201852*Series[23]+0.00902504*Series[24]+0.01093067*Series[25]+0.00766099*Series[26]+0.00145478*Series[27]-0.00447175*Series[28]-0.00750446*Series[29]-0.00671646*Series[30]-0.00304016*Series[31]+0.00143433*Series[32]+0.00457475*Series[33]+0.00517589*Series[34]+0.00336708*Series[35]+0.00034406*Series[36]-0.00233637*Series[37]-0.00352280*Series[38]-0.00293522*Series[39]-0.00114249*Series[40]+0.00083536*Series[41]+0.00215524*Series[42]+0.00604133*Series[43]-0.00013046*Series[44] ENDIF //----------------------------------// // RSTL - Reference Slow Trend Line // //----------------------------------// IF MAType = 44 THEN AFR = -0.00514293*Series[0]-0.00398417*Series[1]-0.00262594*Series[2]-0.00107121*Series[3]+0.00066887*Series[4]+0.00258172*Series[5]+0.00465269*Series[6]+0.00686394*Series[7]+0.00919334*Series[8]+0.01161720*Series[9]+0.01411056*Series[10]+0.01664635*Series[11]+0.01919533*Series[12]+0.02172747*Series[13]+0.02421320*Series[14]+0.02662203*Series[15]+0.02892446*Series[16]+0.03109071*Series[17]+0.03309496*Series[18]+0.03490921*Series[19]+0.03651145*Series[20]+0.03788045*Series[21]+0.03899804*Series[22]+0.03984915*Series[23]+0.04042329*Series[24]+0.04071263*Series[25]+0.04071263*Series[26]+0.04042329*Series[27]+0.03984915*Series[28]+0.03899804*Series[29]+0.03788045*Series[30]+0.03651145*Series[31]+0.03490921*Series[32]+0.03309496*Series[33]+0.03109071*Series[34]+0.02892446*Series[35]+0.02662203*Series[36]+0.02421320*Series[37]+0.02172747*Series[38]+0.01919533*Series[39]+0.01664635*Series[40]+0.01411056*Series[41]+0.01161720*Series[42]+0.00919334*Series[43]+0.00686394*Series[44]+0.00465269*Series[45]+0.00258172*Series[46]+0.00066887*Series[47]-0.00107121*Series[48]-0.00262594*Series[49]-0.00398417*Series[50]-0.00514293*Series[51]-0.00609634*Series[52]-0.00684602*Series[53]-0.00739452*Series[54]-0.00774847*Series[55]-0.00791630*Series[56]-0.00790940*Series[57]-0.00774085*Series[58]-0.00742482*Series[59]-0.00697718*Series[60]-0.00641613*Series[61]-0.00576108*Series[62]-0.00502957*Series[63]-0.00423873*Series[64]-0.00340812*Series[65]-0.00255923*Series[66]-0.00170217*Series[67]-0.00085902*Series[68]-0.00004113*Series[69]+0.00073700*Series[70]+0.00146422*Series[71]+0.00213007*Series[72]+0.00272649*Series[73]+0.00324752*Series[74]+0.00368922*Series[75]+0.00405000*Series[76]+0.00433024*Series[77]+0.00453068*Series[78]+0.00465046*Series[79]+0.00469058*Series[80]+0.00466041*Series[81]+0.00457855*Series[82]+0.00442491*Series[83]+0.00423019*Series[84]+0.00399201*Series[85]+0.00372169*Series[86]+0.00342736*Series[87]+0.00311822*Series[88]+0.00280309*Series[89]+0.00249088*Series[90]+0.00219089*Series[91]+0.00191283*Series[92]+0.00166683*Series[93]+0.00146419*Series[94]+0.00131867*Series[95]+0.00124645*Series[96]+0.00126836*Series[97]-0.00401854*Series[98] ENDIF //---------------------------------// // SATL - Slow Adaptive Trend Line // //---------------------------------// IF MAType = 45 THEN AFR = 0.0982862174*Series[0]+0.0975682269*Series[1]+0.0961401078*Series[2]+0.0940230544*Series[3]+0.0912437090*Series[4]+0.0878391006*Series[5]+0.0838544303*Series[6]+0.0793406350*Series[7]+0.0743569346*Series[8]+0.0689666682*Series[9]+0.0632381578*Series[10]+0.0572428925*Series[11]+0.0510534242*Series[12]+0.0447468229*Series[13]+0.0383959950*Series[14]+0.0320735368*Series[15]+0.0258537721*Series[16]+0.0198005183*Series[17]+0.0139807863*Series[18]+0.0084512448*Series[19]+0.0032639979*Series[20]-0.0015350359*Series[21]-0.0059060082*Series[22]-0.0098190256*Series[23]-0.0132507215*Series[24]-0.0161875265*Series[25]-0.0186164872*Series[26]-0.0205446727*Series[27]-0.0219739146*Series[28]-0.0229204861*Series[29]-0.0234080863*Series[30]-0.0234566315*Series[31]-0.0231017777*Series[32]-0.0223796900*Series[33]-0.0213300463*Series[34]-0.0199924534*Series[35]-0.0184126992*Series[36]-0.0166377699*Series[37]-0.0147139428*Series[38]-0.0126796776*Series[39]-0.0105938331*Series[40]-0.0084736770*Series[41]-0.0063841850*Series[42]-0.0043466731*Series[43]-0.0023956944*Series[44]-0.0005535180*Series[45]+0.0011421469*Series[46]+0.0026845693*Series[47]+0.0040471369*Series[48]+0.0052380201*Series[49]+0.0062194591*Series[50]+0.0070340085*Series[51]+0.0076266453*Series[52]+0.0080376628*Series[53]+0.0083037666*Series[54]+0.0083694798*Series[55]+0.0082901022*Series[56]+0.0080741359*Series[57]+0.0077543820*Series[58]+0.0073260526*Series[59]+0.0068163569*Series[60]+0.0062325477*Series[61]+0.0056078229*Series[62]+0.0049516078*Series[63]+0.0161380976*Series[64] ENDIF //-----------------------------// // SMA - Simple Moving Average // //-----------------------------// IF MAType = 46 THEN Period = MAX(Period, 1) AFR = Average[Period](Series) ENDIF //---------------------------------------// // SSF2P - 2-Pole Super Smoothing Filter // //---------------------------------------// IF MAType = 47 THEN Period = MAX(Period, 1) a1 = EXP(-1.414 * 3.14159 / Period) b1 = 2 * a1 * COS(1.414 * 180 / Period) coef2 = b1 coef3 = -a1 * a1 coef1 = 1 - coef2 - coef3 IF BarIndex < 2 THEN AFR = Series ELSE AFR = coef1 * Series + coef2 * AFR[1] + coef3 * AFR[2] ENDIF ENDIF //---------------------------------------// // SSF3P - 3-Pole Super Smoothing Filter // //---------------------------------------// IF MAType = 48 THEN Period = MAX(Period, 1) a1 = EXP(-3.14159 / Period) b1 = 2 * a1 * COS(1.738 * 180 / Period) c1 = a1 * a1 coef2 = b1 + c1 coef3 = -(c1 + b1 * c1) coef4 = c1 * c1 coef1 = 1 - coef2 - coef3 - coef4 IF BarIndex < 3 THEN AFR = Series ELSE AFR = coef1 * Series + coef2 * AFR[1] + coef3 * AFR[2] + coef4 * AFR[3] ENDIF ENDIF //---------------------------------------// // SSMA - Smoothed Simple Moving Average // //---------------------------------------// IF MAType = 49 THEN Period = MAX(Period, 1) IF BarIndex = 0 THEN AFR = Series ELSE AFR = AFR[1] + (Series - AFR[1]) / Period ENDIF ENDIF //-------------------------------------// // SWMA - Sine Weighted Moving Average // //-------------------------------------// IF MAType = 50 THEN Period = MAX(Period, 1) Sum = 0 CSum = 0 FOR j = 0 TO Period - 1 DO Sum = Sum + Series[j] * SIN(90 * (1 - j / Period)) CSum = CSum + SIN(90 * (1 - j / Period)) NEXT IF CSum <= 0 THEN AFR = Series ELSE AFR = Sum / CSum ENDIF ENDIF //--------------------------// // T3MA - T3 Moving Average // //--------------------------// IF MAType = 51 THEN Period = MAX(Period, 1) // Hot = 0.7 ({-1.5..1.5}) Hot = 0.7 e1 = ExponentialAverage[Period](Series) e2 = ExponentialAverage[Period](e1) e3 = ExponentialAverage[Period](e2) e4 = ExponentialAverage[Period](e3) e5 = ExponentialAverage[Period](e4) e6 = ExponentialAverage[Period](e5) b = Hot b2 = (b * b) b3 = (b * b * b) c1 = -b3 c2 = (3 * b2) + (3 * b3) c3 = (-6 * b2) - (3 * b) - (3 * b3) c4 = 1 + (3 * b) + b3 + (3 * b2) AFR = c1 * e6 + c2 * e5 + c3 * e4 + c4 * e3 ENDIF //------------------------------------------// // TEMA - Triple Exponential Moving Average // //------------------------------------------// IF MAType = 52 THEN Period = MAX(Period, 1) AFR = TEMA[Period](Series) ENDIF //---------------------------------// // TMA - Triangular Moving Average // //---------------------------------// IF MAType = 53 THEN Period = MAX(Period, 1) AFR = TriangularAverage[Period](Series) ENDIF //---------------------------// // TSA - Time Series Average // //---------------------------// IF MAType = 54 THEN Period = MAX(Period, 1) AFR = TimeSeriesAverage[Period](Series) ENDIF //----------------------------------------// // VIDYA - Variable Index Dynamic Average // //----------------------------------------// IF MAType = 55 THEN Period = MAX(Period, 4) // Smooth = 5 Smooth = 5 ONCE SC = 2 / (Smooth + 1) AbsCMO = (ABS(Chandle[Period](Series))) / 100 IF BarIndex < Period THEN AFR = Series ELSE AFR = (SC * AbsCMO * Series) + (1 - (SC * AbsCMO)) * AFR ENDIF ENDIF //-------------------------------// // VMA - Variable Moving Average // //-------------------------------// IF MAType = 56 THEN Period = MAX(Period, 4) IF BarIndex < Period THEN AFR = Series ELSE k = 1.0 / Period pdm = MAX((Series - Series[1]), 0) mdm = MAX((Series[1] - Series), 0) pdmS = ((1 - k) * (pdmS[1]) + k * pdm) mdmS = ((1 - k) * (mdmS[1]) + k * mdm) s = pdmS + mdmS pdi = pdmS / s mdi = mdmS / s pdiS = ((1 - k) * (pdiS[1]) + k * pdi) mdiS = ((1 - k) * (mdiS[1]) + k * mdi) d = ABS(pdiS - mdiS) s1 = pdiS + mdiS iS = ((1 - k) * (iS[1]) + k * d / s1) hhv = highest[Period](iS) llv = lowest[Period](iS) d1 = hhv - llv vI = (iS - llv) / d1 AFR = (1 - k * vI) * (AFR[1]) + k * vI * Series ENDIF ENDIF //--------------------------------------// // VWAP - Volume Weighted Average Price // //--------------------------------------// IF MAType = 57 THEN Period = MAX(Period, 1) SumVol = summation[Period](Volume) IF SumVol = 0 THEN SumVol = 1 ENDIF AFR = summation[Period](Series * Volume) / summation[Period](Volume) ENDIF //------------------------------// // WIMA - Wilder Moving Average // //------------------------------// IF MAType = 58 THEN Period = MAX(Period, 1) AFR = WilderAverage[Period](Series) ENDIF //----------------------------------------------// // WLSMA - Weighted Least Square Moving Average // //----------------------------------------------// IF MAType = 59 THEN Period = MAX(Period, 1) // NumBars = 4 NumBars = 4 LR = LinearRegression[NumBars](Series) AFR = WeightedAverage[Period](LR) ENDIF //-------------------------------// // WMA - Weighted Moving Average // //-------------------------------// IF MAType = 60 THEN Period = MAX(Period, 1) AFR = WeightedAverage[Period](Series) ENDIF //----------------------// // ZLBMT - Zero Lag BMT // //----------------------// IF MAType = 61 THEN Period = MAX(Period, 1) EMA0 = ExponentialAverage[Period](Series) EMA1 = ExponentialAverage[Period](EMA0) AFR = EMA0 + (EMA0 - EMA1) ENDIF //-----------------------------------------------------// // ZLDEMA - Zero Lag Double Exponential Moving Average // //-----------------------------------------------------// IF MAType = 62 THEN Period = MAX(Period, 1) DEMA0 = DEMA[Period](Series) DEMA1 = DEMA[Period](DEMA0) AFR = DEMA0 + (DEMA0 - DEMA1) ENDIF //----------------------------// // ZLFF - Zero Lag FIR Filter // //----------------------------// IF MAType = 63 THEN AFR = (Series + 2 * Series[1] + 3 * Series[2] + 3 * Series[3] + 2 * Series[4] + Series[5]) / 12 ENDIF //----------------------------// // ZLIF - Zero Lag IIR Filter // //----------------------------// IF MAType = 64 THEN Period = MAX(Period, 1) k = 2 / (Period + 1) x = ROUND((Period - 1) / 2) IF BarIndex <= MAX(x, 0) THEN AFR = Series ELSE AFR = k * (2 * Series - Series[x]) + (1 - k) * AFR[1] ENDIF ENDIF //-----------------------------// // ZLJE - Zero Lag John Ehlers // //-----------------------------// IF MAType = 65 THEN Period = MAX(Period, 2) alpha = 2 / (1 + Period) per = ROUND((Period - 1) / 2) IF BarIndex < per THEN AFR = Series ELSE AFR = AFR[1] + alpha * (2 * Series - Series[per] - AFR[1]) ENDIF ENDIF //--------------------------------// // ZLWBMT - Zero Lag Weighted BMT // //--------------------------------// IF MAType = 66 THEN Period = MAX(Period, 1) WMA0 = WeightedAverage[Period](Series) WMA1 = WeightedAverage[Period](WMA0) AFR = WMA0 + (WMA0 - WMA1) ENDIF //-----------------------------------------// // Range based AV high + STD - low - STD // //-----------------------------------------// IF MAType = 67 THEN Type = 1 //exponential average NxStd = 1 //Standard dev multiplier AvH= Average[Period,Type](high) + NxStd * STD[Period](high) //higher green line HIGH + Std AvL= Average[Period,Type](low) + NxStd * STD[Period](low) //lower green line LOW + Std Av= Average[Period,Type](close) AvHL= Average[Period,Type](high) - NxStd * STD[Period](high) //higher red line HIGH - Std AvLL= Average[Period,Type](low) - NxStd * STD[Period](low) //lower red line LOW - Std AFR = average[Period,Type]((close +AvH + AvL + Av + AvHL + AvLL)/6) endif //--------------------------------// // Average lowest plus highest // //--------------------------------// IF MAType = 68 THEN Period = MAX(Period, 1) AFR = (lowest[Period](series) + highest[Period](series))/2 ENDIF //--------------------------------// // 69 DEMA adjusted by itself // //--------------------------------// IF MAType = 69 THEN Period = MAX(Period, 1) AFR = 2 * DEMA[Period](Series) - DEMA[Period](DEMA[Period](Series)) ENDIF ///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// //---------------------------------------// // AFRV2 - Average Filter Regression // // // // Contact: laurenzo(at)gargamail(dot)net // //---------------------------------------// // 0. Ahrens Moving Average // // 1. Adjustable Lag FIR // // 2. Arnaud Legoux Moving Average // // 3. 2-Pole Butterworth Smoothing Filter // // 4. 3-Pole Butterworth Smoothing Filter // // 5. Corrected Moving Average by A.Uhl // // 6. d9 Unscented Kalman Filter (Responsiveness Version) // // 7. d9 Unscented Kalman Filter // // 8. Double Exponential Moving Average // // 9. Exponential Least Square Moving Average // // 10. Exponential Moving Average // // 11. Elastic Volume Weighted Moving Average // // 12. Fast Adaptive Trend Line // // 13. Fractional-Bar Quick Moving Average // // 14. Fractal Adaptive Moving Average // // 15. Generalized DEMA // // 16. 1-Pole Gaussian Filter // // 17. 2-Pole Gaussian Filter // // 18. 3-Pole Gaussian Filter // // 19. 4-Pole Gaussian Filter // // 20. Hull Moving Average // // 21. IE/2 Combination of LSMA and ILRS // // 22. Integral of Linear Regression Slope // // 23. iTrend by John Ehlers // // 24. Jurik Moving Average (Responsiveness Version) // // 25. Jurik Moving Average // // 26. Kaufman Adaptive Moving Average // // 27. Kalman Filter by John Ehlers // // 28. Kalman Filter (Responsiveness Version) // // 29. Kalman Filter // // 30. Leader Exponential Moving Average // // 31. Laguerre Filter by John Ehlers // // 32. Least Square Moving Average // // 33. McGinley Dynamic // // 34. Middle High Low Range Moving Average // // 35. McNicholl Moving Average // // 36. Non Lag Moving Average (Responsiveness Version) // // 37. Non Lag Moving Average // // 38. One More Average // // 39. Pentuple Exponential Moving Average // // 40. Parabolic Weighted Moving Average // // 41. Quadruple Exponential Moving Average // // 42. Regularized EMA by Chris Satchwell // // 43. Reference Fast Trend Line // // 44. Reference Slow Trend Line // // 45. Slow Adaptive Trend Line // // 46. Simple Moving Average // // 47. 2-Pole Super Smoothing Filter // // 48. 3-Pole Super Smoothing Filter // // 49. Smoothed Simple Moving Average // // 50. Sine Weighted Moving Average // // 51. T3 Moving Average // // 52. Triple Exponential Moving Average // // 53. Triangular Moving Average // // 54. Time Seriesv2 Average // // 55. Variable Index Dynamic Average // // 56. Variable Moving Average // // 57. Volume Weighted Average Price // // 58. Wilder Moving Average // // 59. Weighted Least Square Moving Average // // 60. Weighted Moving Average // // 61. Zero Lag BMT // // 62. Zero Lag Double Exponential Moving Average // // 63. Zero Lag FIR Filter // // 64. Zero Lag IIR Filter // // 65. Zero Lag John Ehlers // // 66. Zero Lag Weighted BMT // // 67. Range based AV high + STD - low - STD // 69 DEMA adjusted by itself //------------------------------// // AHMA - Ahrens Moving Average // //------------------------------// IF MATypev2 = 0 THEN Period2 = MAX(Period2, 1) IF BarIndex < Period2 THEN AFRV2 = Seriesv2 ELSE AFRV2 = AFRV2[1] + ((Seriesv2 - ((AFRV2[1] + AFRV2[Period2]) / 2)) / Period2) ENDIF ENDIF //----------------------------// // ALFIR - Adjustable Lag FIR // //----------------------------// IF MATypev2 = 1 THEN // Lag = 0.7 ({-2.5...2.5}) Lag = 0.7 AFRV2 = (Seriesv2 + (2 + Lag) * Seriesv2[1] + (3 + Lag) * Seriesv2[2] + 3 * Seriesv2[3] + (2 - Lag) * Seriesv2[4] + (1 - Lag) * Seriesv2[5] + (0 - Lag) * Seriesv2[6]) / (12 - Lag) ENDIF //-------------------------------------// // ALMA - Arnaud Legoux Moving Average // //-------------------------------------// IF MATypev2 = 2 THEN Period2 = MAX(Period2, 1) // Sigma = 6 ({0..30}) // Offset = 0.85 ({0..1}) Sigma = 6 Offset = 0.85 m = ROUND(Offset * (Period2 - 1)) s = Period2 / Sigma WtdSum = 0 CumWt = 0 FOR k = 0 TO Period2 - 1 DO Wtd = EXP(-((k - m) * (k - m)) / (2 * s * s)) WtdSum = WtdSum + Wtd * Seriesv2[Period2 - 1 - k] CumWt = CumWt + Wtd NEXT IF CumWt <= 0 THEN AFRV2 = Seriesv2 ELSE AFRV2 = WtdSum / CumWt ENDIF ENDIF //---------------------------------------------// // BSF2P - 2-Pole Butterworth Smoothing Filter // //---------------------------------------------// IF MATypev2 = 3 THEN Period2 = MAX(Period2, 1) a1 = EXP(-1.414 * 3.14159 / Period2) b1 = 2 * a1 * COS(1.414 * 180 / Period2) coef2 = b1 coef3 = -a1 * a1 coef1 = (1 - b1 + a1 * a1) / 4 IF BarIndex < 2 THEN AFRV2 = Seriesv2 ELSE AFRV2 = coef1 * (Seriesv2 + 2 * Seriesv2[1] + Seriesv2[2]) + coef2 * AFRV2[1] + coef3 * AFRV2[2] ENDIF ENDIF //---------------------------------------------// // BSF3P - 3-Pole Butterworth Smoothing Filter // //---------------------------------------------// IF MATypev2 = 4 THEN Period2 = MAX(Period2, 1) a1 = EXP(-3.14159 / Period2) b1 = 2 * a1 * COS(1.738 * 180 / Period2) c1 = a1 * a1 coef2 = b1 + c1 coef3 = -(c1 + b1 * c1) coef4 = c1 * c1 coef1 = (1 - b1 + c1) * (1 - c1) / 8 IF BarIndex < 3 THEN AFRV2 = Seriesv2 ELSE AFRV2 = coef1 * (Seriesv2 + 3 * Seriesv2[1] + 3 * Seriesv2[2] + Seriesv2[3]) + coef2 * AFRV2[1] + coef3 * AFRV2[2] + coef4 * AFRV2[3] ENDIF ENDIF //-----------------------------------------// // CMA - Corrected Moving Average by A.Uhl // //-----------------------------------------// IF MATypev2 = 5 THEN Period2 = MAX(Period2, 1) IF BarIndex < Period2 THEN AFRV2 = Seriesv2 ELSE MA = Average[Period2](Seriesv2) v1 = SQUARE(STD[Period2](Seriesv2)) v2 = SQUARE(AFRV2[1] - MA) IF v2 < v1 OR v2 = 0 THEN K = 0 ELSE K = 1 - v1 / v2 ENDIF AFRV2 = AFRV2[1] + K * (MA - AFRV2[1]) ENDIF ENDIF //-------------------------------------------------------------// // d9UKF - d9 Unscented Kalman Filter (Responsiveness Version) // //-------------------------------------------------------------// IF MATypev2 = 6 THEN // Init Period2 = MAX(Period2, 2) // longAvgWindow = 65 ({40..200}) longAvgWindow = 65 // permissivity = {0..3} permissivity = 2 windowLength = 0.5 * (Period2 - 1) // FIX LOG - LOG(SQRT(windowLength)) / LOG(2) + 2 lengthParam = (LOG(SQRT(windowLength)) / LOG(10)) / (LOG(2) / LOG(10)) + 2 IF (lengthParam < 0) THEN lengthParam = 0 ENDIF expFactor = lengthParam - 2 IF (expFactor < 0.5) THEN expFactor = 0.5 ENDIF sigma = SQRT(windowLength) * lengthParam beta = sigma / (sigma + 1) data = Average[1](Seriesv2) // AverageVMA(Input, 1, 1)[0]; //SMA(Input, 1)[0]; IF (BarIndex < 10) THEN vxCum = 0 hInterval = data lInterval = data Filt0 = data Filt1 = data AFRV2 = data ELSE uDelta = data - hInterval[1] uAbs = ABS(uDelta) lDelta = data - lInterval[1] lAbs = ABS(lDelta) IF (uAbs > lAbs) THEN vx = uAbs ELSIF (uAbs < lAbs) THEN vx = lAbs ELSIF (uAbs = lAbs) THEN vx = 0 ENDIF vxCum = vxCum[1] + 0.1 * (vx - vx[10]) IF (BarIndex <= longAvgWindow + 1) THEN avgVx = avgVx[1] + 2.0 * (vxCum - avgVx[1]) / (longAvgWindow + 1) ELSE // SMA(_vxCum, _longAvgWindow) avgVx = Average[longAvgWindow](vxCum) // SMA(_vxCum, _longAvgWindow) ENDIF IF (avgVx > 0) THEN vxCoeff = vx / avgVx ENDIF // FIX Power - Power(lengthParam, 1.0 / expFactor) IF (EXP((1.0 / expFactor) * LOG(lengthParam))) THEN vxCoeff = EXP((1.0 / expFactor) * LOG(lengthParam)) ENDIF IF (vxCoeff < 1) THEN vxCoeff = 1 ENDIF // FIX Power - Power(vxCoeff, expFactor) vExp = EXP((expFactor) * LOG(vxCoeff)) // FIX Power - Power(beta, SQRT(vExp)) kV = EXP(SQRT(vExp) * LOG(beta)) IF (uDelta > 0) THEN hInterval = data ELSE hInterval = data - kV * uDelta ENDIF IF (lDelta < 0) THEN lInterval = data ELSE lInterval = data - kV * lDelta ENDIF gamma = 0.45 * (Period2 - 1) / (0.45 * (Period2 - 1) + 2) // FIX Power - Power(gamma, vExp) alpha = EXP((vExp) * LOG(gamma)) Filt0 = (1 - alpha) * data + alpha * Filt0[1] Det0 = (data - Filt0[0]) * (1 - gamma) + gamma * Det0[1] Filt1 = Filt0[0] + permissivity * Det0[0] Det1 = (Filt1[0] - AFRV2[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFRV2 = AFRV2[1] + Det1[0] ENDIF ENDIF //------------------------------------// // d9UKF - d9 Unscented Kalman Filter // //------------------------------------// IF MATypev2 = 7 THEN // Init Period2 = MAX(Period2, 2) // longAvgWindow = {40..200} longAvgWindow = 65 // permissivity = {0..3} permissivity = 1.25 windowLength = 0.5 * (Period2 - 1) // FIX LOG - LOG(SQRT(windowLength)) / LOG(2) + 2 lengthParam = (LOG(SQRT(windowLength)) / LOG(10)) / (LOG(2) / LOG(10)) + 2 IF (lengthParam < 0) THEN lengthParam = 0 ENDIF expFactor = lengthParam - 2 IF (expFactor < 0.5) THEN expFactor = 0.5 ENDIF sigma = SQRT(windowLength) * lengthParam beta = sigma / (sigma + 1) data = Average[1](Seriesv2) // AverageVMA(Input, 1, 1)[0]; //SMA(Input, 1)[0]; IF (BarIndex < 10) THEN vxCum = 0 hInterval = data lInterval = data Filt0 = data Filt1 = data AFRV2 = data ELSE uDelta = data - hInterval[1] uAbs = ABS(uDelta) lDelta = data - lInterval[1] lAbs = ABS(lDelta) IF (uAbs > lAbs) THEN vx = uAbs ELSIF (uAbs < lAbs) THEN vx = lAbs ELSIF (uAbs = lAbs) THEN vx = 0 ENDIF vxCum = vxCum[1] + 0.1 * (vx - vx[10]) IF (BarIndex <= longAvgWindow + 1) THEN avgVx = avgVx[1] + 2.0 * (vxCum - avgVx[1]) / (longAvgWindow + 1) ELSE // SMA(_vxCum, _longAvgWindow) avgVx = Average[longAvgWindow](vxCum) // SMA(_vxCum, _longAvgWindow) ENDIF IF (avgVx > 0) THEN vxCoeff = vx / avgVx ENDIF // FIX Power - Power(lengthParam, 1.0 / expFactor) IF (EXP((1.0 / expFactor) * LOG(lengthParam))) THEN vxCoeff = EXP((1.0 / expFactor) * LOG(lengthParam)) ENDIF IF (vxCoeff < 1) THEN vxCoeff = 1 ENDIF // FIX Power - Power(vxCoeff, expFactor) vExp = EXP((expFactor) * LOG(vxCoeff)) // FIX Power - Power(beta, SQRT(vExp)) kV = EXP(SQRT(vExp) * LOG(beta)) IF (uDelta > 0) THEN hInterval = data ELSE hInterval = data - kV * uDelta ENDIF IF (lDelta < 0) THEN lInterval = data ELSE lInterval = data - kV * lDelta ENDIF gamma = 0.45 * (Period2 - 1) / (0.45 * (Period2 - 1) + 2) // FIX Power - Power(gamma, vExp) alpha = EXP((vExp) * LOG(gamma)) Filt0 = (1 - alpha) * data + alpha * Filt0[1] Det0 = (data - Filt0[0]) * (1 - gamma) + gamma * Det0[1] Filt1 = Filt0[0] + permissivity * Det0[0] Det1 = (Filt1[0] - AFRV2[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFRV2 = AFRV2[1] + Det1[0] ENDIF ENDIF //------------------------------------------// // DEMA - Double Exponential Moving Average // //------------------------------------------// IF MATypev2 = 8 THEN Period2 = MAX(Period2, 1) AFRV2 = DEMA[Period2](Seriesv2) ENDIF //-------------------------------------------------// // ELSMA - Exponential Least Square Moving Average // //-------------------------------------------------// IF MATypev2 = 9 THEN Period2 = MAX(Period2, 1) // NumBars = 4 NumBars = 4 LR = LinearRegression[NumBars](Seriesv2) AFRV2 = ExponentialAverage[Period2](LR) ENDIF //----------------------------------// // EMA - Exponential Moving Average // //----------------------------------// IF MATypev2 = 10 THEN Period2 = MAX(Period2, 1) AFRV2 = ExponentialAverage[Period2](Seriesv2) ENDIF //------------------------------------------------// // EVWMA - Elastic Volume Weighted Moving Average // //------------------------------------------------// IF MATypev2 = 11 THEN Period2 = MAX(Period2, 1) IF BarIndex < Period2 THEN AFRV2 = Seriesv2 ELSE SumVol = summation[Period2](Volume) IF SumVol = 0 THEN SumVol = 1 ENDIF AFRV2 = ((SumVol - Volume) * AFRV2 + Volume * Seriesv2) / SumVol ENDIF ENDIF //---------------------------------// // FATL - Fast Adaptive Trend Line // //---------------------------------// IF MATypev2 = 12 THEN AFRV2 = 0.4360409450*Seriesv2[0]+0.3658689069*Seriesv2[1]+0.2460452079*Seriesv2[2]+0.1104506886*Seriesv2[3]-0.0054034585*Seriesv2[4]-0.0760367731*Seriesv2[5]-0.0933058722*Seriesv2[6]-0.0670110374*Seriesv2[7]-0.0190795053*Seriesv2[8]+0.0259609206*Seriesv2[9]+0.0502044896*Seriesv2[10]+0.0477818607*Seriesv2[11]+0.0249252327*Seriesv2[12]-0.0047706151*Seriesv2[13]-0.0272432537*Seriesv2[14]-0.0338917071*Seriesv2[15]-0.0244141482*Seriesv2[16]-0.0055774838*Seriesv2[17]+0.0128149838*Seriesv2[18]+0.0226522218*Seriesv2[19]+0.0208778257*Seriesv2[20]+0.0100299086*Seriesv2[21]-0.0036771622*Seriesv2[22]-0.0136744850*Seriesv2[23]-0.0160483392*Seriesv2[24]-0.0108597376*Seriesv2[25]-0.0016060704*Seriesv2[26]+0.0069480557*Seriesv2[27]+0.0110573605*Seriesv2[28]+0.0095711419*Seriesv2[29]+0.0040444064*Seriesv2[30]-0.0023824623*Seriesv2[31]-0.0067093714*Seriesv2[32]-0.0072003400*Seriesv2[33]-0.0047717710*Seriesv2[34]+0.0005541115*Seriesv2[35]+0.0007860160*Seriesv2[36]+0.0130129076*Seriesv2[37]+0.0040364019*Seriesv2[38] ENDIF //---------------------------------------------// // FBQMA - Fractional-Bar Quick Moving Average // //---------------------------------------------// IF MATypev2 = 13 THEN Period2 = MAX(Period2, 1) Peak = Period2 / 3 Num = 0 Denom = 0 FOR j = 1 TO (Period2 + 1) DO IF j <= Peak THEN DataArray = j / Peak ELSE DataArray = (Period2 + 1 - j) / (Period2 + 1 - Peak) Num = Num + Seriesv2[j - 1] * DataArray Denom = Denom + DataArray ENDIF NEXT IF Denom <= 0 THEN AFRV2 = Seriesv2 ELSE AFRV2 = Num / Denom ENDIF ENDIF //-----------------------------------------// // FRAMA - Fractal Adaptive Moving Average // //-----------------------------------------// IF MATypev2 = 14 THEN Period2 = MAX(Period2, 1) N3 = (highest[Period2](High) - lowest[Period2](Low)) / Period2 mH = High L = Low FOR count = 0 TO (Period2 / 2) - 1 DO count = ROUND(count) IF High[count] > mH THEN mH = High[count] ENDIF IF Low[count] < L THEN L = Low[count] ENDIF NEXT N1 = (mH - L) / (Period2 / 2) HH = High[ROUND(Period2 / 2)] LL = Low[ROUND(Period2 / 2)] FOR count = Period2 / 2 TO Period2 - 1 DO count = ROUND(count) IF High[count] > HH THEN HH = High[count] ENDIF IF Low[count] < LL THEN LL = Low[count] ENDIF NEXT N2 = (HH - LL) / (Period2 / 2) IF N1 > 0 AND N2 > 0 AND N3 > 0 THEN // FIX LOG Dimen = ((LOG(N1 + N2) / LOG(10)) - (LOG(N3) / LOG(10))) / (LOG(2) / LOG(10)) ENDIF alpha = EXP(-4.6 * (Dimen - 1)) IF alpha < 0.01 THEN alpha = 0.01 ELSIF alpha > 1 THEN alpha = 1 ENDIF IF BarIndex < Period2 THEN AFRV2 = Seriesv2 ELSE AFRV2 = alpha * Seriesv2 + (1 - alpha) * AFRV2[1] ENDIF ENDIF //--------------------------// // GDEMA - Generalized DEMA // //--------------------------// IF MATypev2 = 15 THEN Period2 = MAX(Period2, 1) // VFactor = 0.7 ({-2.5..2.5}) VFactor = 0.7 EMA0 = ExponentialAverage[Period2](Seriesv2) EMA1 = ExponentialAverage[Period2](EMA0) AFRV2 = EMA0 * (1 + VFactor) - EMA1 * VFactor ENDIF //-------------------------------// // GF1P - 1-Pole Gaussian Filter // //-------------------------------// IF MATypev2 = 16 THEN Period2 = MAX(Period2, 2) IF BarIndex = 0 THEN w = 2 * 3.141592654 / Period2 w = 180 * w / 3.141592654 b = (1 - COS(w)) / (1.41421 - 1) aa = -b + SQRT(b * b + 2 * b) a1 = 1 - aa y1 = Seriesv2 ENDIF y = aa * Seriesv2 + a1 * y1 y1 = y AFRV2 = y ENDIF //-------------------------------// // GF2P - 2-Pole Gaussian Filter // //-------------------------------// IF MATypev2 = 17 THEN Period2 = MAX(Period2, 2) IF BarIndex = 0 THEN w = 2 * 3.141592654 / Period2 w = 180 * w / 3.141592654 b = (1 - COS(w)) / (1.41421 - 1) aa = -b + SQRT(b * b + 2 * b) a1 = 1 - aa a12 = a1 * a1 a2 = aa * aa y1 = Seriesv2 y2 = y1 ENDIF y = a2 * Seriesv2 + 2 * a1 * y1 - a12 * y2 y2 = y1 y1 = y AFRV2 = y ENDIF //-------------------------------// // GF3P - 3-Pole Gaussian Filter // //-------------------------------// IF MATypev2 = 18 THEN Period2 = MAX(Period2, 2) IF BarIndex = 0 THEN w = 2 * 3.141592654 / Period2 w = 180 * w / 3.141592654 b = (1 - COS(w)) / (1.25992 - 1) aa = -b + SQRT(b * b + 2 * b) a1 = 1 - aa a12 = a1 * a1 a13 = a1 * a1 * a1 a3 = aa * aa * aa y1 = Seriesv2 y2 = y1 y3 = y2 ENDIF y = a3 * Seriesv2 + 3 * a1 * y1 - 3 * a12 * y2 + a13 * y3 y3 = y2 y2 = y1 y1 = y AFRV2 = y ENDIF //-------------------------------// // GF4P - 4-Pole Gaussian Filter // //-------------------------------// IF MATypev2 = 19 THEN Period2 = MAX(Period2, 2) IF BarIndex = 0 THEN w = 2 * 3.141592654 / Period2 w = 180 * w / 3.141592654 b = (1 - COS(w)) / (1.18920 - 1) aa = -b + SQRT(b * b + 2 * b) a1 = 1 - aa a12 = a1 * a1 a13 = a1 * a1 * a1 a14 = a12 * a12 a2 = aa * aa a4 = a2 * a2 y1 = Seriesv2 y2 = y1 y3 = y2 y4 = y3 ENDIF y = a4 * Seriesv2 + 4 * a1 * y1 - 6 * a12 * y2 + 4 * a13 *y3 - a14 * y4 y4 = y3 y3 = y2 y2 = y1 y1 = y AFRV2 = y ENDIF //---------------------------// // HMA - Hull Moving Average // //---------------------------// IF MATypev2 = 20 THEN Period2 = MAX(Period2, 1) AFRV2 = WeightedAverage[ROUND(SQRT(Period2))](2 * WeightedAverage[ROUND(Period2 / 2)](Seriesv2) - WeightedAverage[Period2](Seriesv2)) ENDIF //-------------------------------------// // IE/2 - Combination of LSMA and ILRS // //-------------------------------------// IF MATypev2 = 21 THEN Period2 = MAX(Period2, 2) LR = LinearRegression[Period2](Seriesv2) LRS = LinearRegressionSlope[Period2](Seriesv2) SMA = Average[Period2](Seriesv2) AFRV2 = (LR + LRS + SMA) / 2 ENDIF //--------------------------------------------// // ILRS - Integral of Linear Regression Slope // //--------------------------------------------// IF MATypev2 = 22 THEN Period2 = MAX(Period2, 2) SumBars = Period2 * (Period2 - 1) * 0.5 SumSqrBars = Period2 * (Period2 - 1) * Period2 * (2 * Period2 - 1) / 6 IF (BarIndex < Period2) then AFRV2 = Seriesv2 ELSE Sum1 = 0 SumY = 0 MA = Average[1](Seriesv2) FOR i = 0 TO Period2 - 1 DO Sum1 = Sum1 + (i * MA[i]) SumY = SumY + MA[i] NEXT Num1 = Period2 * Sum1 - SumBars * SumY Num2 = SumBars * SumBars - Period2 * SumSqrBars AFRV2 = Num1 / Num2 + Average[Period2](Seriesv2) ENDIF ENDIF //--------------------------------// // iTrend - iTrend by John Ehlers // //--------------------------------// IF MATypev2 = 23 THEN // alpha = 0.0025 {0.0025..0.2} alpha = 0.005 IF BarIndex < 2 THEN AFRV2 = Seriesv2 ELSE i1 = (alpha - alpha * alpha / 4) * Seriesv2 i2 = 0.5 * alpha * alpha * Seriesv2[1] i3 = (alpha - 0.75 * alpha * alpha) * Seriesv2[2] i4 = 2 * (1 - alpha) * AFRV2[1] i5 = (1 - alpha) * (1 - alpha) * AFRV2[2] AFRV2 = i1 + i2 - i3 + i4 - i5 ENDIF ENDIF //-----------------------------------------------------// // JMA - Jurik Moving Average (Responsiveness Version) // //-----------------------------------------------------// IF MATypev2 = 24 THEN Period2 = MAX(Period2, 1) // Pow = 5 ({ 1..10 }) // R = 1.5 ({0.5..2.5}) Pow = 5 R = 1 beta = 0.45 * (Period2 - 1) / (0.45 * (Period2 - 1) + 2) IF Pow = 1 THEN alpha = beta ELSIF Pow = 2 THEN alpha = beta * beta ELSIF Pow = 3 THEN alpha = beta * beta * beta ELSIF Pow = 4 THEN alpha = beta * beta * beta * beta ELSIF Pow = 5 THEN alpha = beta * beta * beta * beta * beta ELSIF Pow = 6 THEN alpha = beta * beta * beta * beta * beta * beta ELSIF Pow = 7 THEN alpha = beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 8 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 9 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 10 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ENDIF IF BarIndex = 0 THEN Filt0 = Seriesv2 Filt1 = Seriesv2 AFRV2 = Seriesv2 ELSE Filt0 = (1 - alpha) * Seriesv2 + alpha * Filt0[1] Det0 = (Seriesv2 - Filt0[0]) * (1 - beta) + beta * Det0[1] Filt1 = Filt0[0] + R * Det0[0] Det1 = (Filt1[0] - AFRV2[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFRV2 = AFRV2[1] + Det1[0] ENDIF ENDIF //----------------------------// // JMA - Jurik Moving Average // //----------------------------// IF MATypev2 = 25 THEN Period2 = MAX(Period2, 1) // Pow = 5 ({ 1..10 }) // R = 1.5 ({0.5..2.5}) Pow = 4 R = 1 beta = 0.45 * (Period2 - 1) / (0.45 * (Period2 - 1) + 2) IF Pow = 1 THEN alpha = beta ELSIF Pow = 2 THEN alpha = beta * beta ELSIF Pow = 3 THEN alpha = beta * beta * beta ELSIF Pow = 4 THEN alpha = beta * beta * beta * beta ELSIF Pow = 5 THEN alpha = beta * beta * beta * beta * beta ELSIF Pow = 6 THEN alpha = beta * beta * beta * beta * beta * beta ELSIF Pow = 7 THEN alpha = beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 8 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 9 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 10 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ENDIF IF BarIndex = 0 THEN Filt0 = Seriesv2 Filt1 = Seriesv2 AFRV2 = Seriesv2 ELSE Filt0 = (1 - alpha) * Seriesv2 + alpha * Filt0[1] Det0 = (Seriesv2 - Filt0[0]) * (1 - beta) + beta * Det0[1] Filt1 = Filt0[0] + R * Det0[0] Det1 = (Filt1[0] - AFRV2[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFRV2 = AFRV2[1] + Det1[0] ENDIF ENDIF //----------------------------------------// // KAMA - Kaufman Adaptive Moving Average // //----------------------------------------// IF MATypev2 = 26 THEN Period2 = MAX(Period2, 4) // FastPeriod2 = 7 // SlowPeriod2 = 28 FastPeriod2 = 7 SlowPeriod2 = 28 Fastest = 2 / (FastPeriod2 + 1) Slowest = 2 / (SlowPeriod2 + 1) IF BarIndex < Period2 THEN AFRV2 = Seriesv2 ELSE Num = ABS(Seriesv2 - Seriesv2[Period2]) Den = summation[Period2](ABS(Seriesv2 - Seriesv2[1])) ER = Num / Den Alpha = SQUARE(ER * (Fastest - Slowest) + Slowest) AFRV2 = (Alpha * Seriesv2) + ((1 - Alpha) * AFRV2[1]) ENDIF ENDIF //-------------------------------------// // KFJE - Kalman Filter by John Ehlers // //-------------------------------------// IF MATypev2 = 27 THEN IF BarIndex < 3 THEN AFRV2 = Seriesv2 ELSE AFRV2 = 0.33 * (Seriesv2 + 0.5 * (Seriesv2 - Seriesv2[3])) + 0.67 * AFRV2[1] ENDIF ENDIF //---------------------------------------------// // KF - Kalman Filter (Responsiveness Version) // //---------------------------------------------// IF MATypev2 = 28 THEN // K = 1000 ({1...2000}) K = 1000 ONCE Pred = Seriesv2 IF BarIndex = 0 THEN AFRV2 = Seriesv2 ELSE Smooth = Pred + (Seriesv2 - Pred) * SQRT((K / 10000) * 2) Velo = Velo + ((K / 10000) * (Seriesv2 - Pred)) Pred = Smooth + Velo AFRV2 = Pred ENDIF ENDIF //--------------------// // KF - Kalman Filter // //--------------------// IF MATypev2 = 29 THEN // K = 500 ({1...2000}) K = 500 ONCE Pred = Seriesv2 IF BarIndex = 0 THEN AFRV2 = Seriesv2 ELSE Smooth = Pred + (Seriesv2 - Pred) * SQRT((K / 10000) * 2) Velo = Velo + ((K / 10000) * (Seriesv2 - Pred)) Pred = Smooth + Velo AFRV2 = Pred ENDIF ENDIF //------------------------------------------// // LEMA - Leader Exponential Moving Average // //------------------------------------------// IF MATypev2 = 30 THEN Period2 = MAX(Period2, 1) IF BarIndex = 0 THEN p1 = Seriesv2 p2 = 0 ELSE alpha = 2 / (Period2 + 1) p1 = p1[1] + alpha * (Seriesv2 - p1[1]) p2 = p2[1] + alpha * (Seriesv2 - p1 - p2[1]) ENDIF AFRV2 = p1 + p2 ENDIF //-------------------------------------// // LF - Laguerre Filter by John Ehlers // //-------------------------------------// IF MATypev2 = 31 THEN // gamma = 0.8 gamma = 0.8 once l0 = Seriesv2 once l1 = Seriesv2 once l2 = Seriesv2 once l3 = Seriesv2 IF BarIndex = 0 THEN AFRV2 = Seriesv2 ELSE l0 = (1 - gamma) * Seriesv2 + gamma * l0[1] l1 = -gamma * l0 + l0[1] + gamma * l1[1] l2 = -gamma * l1 + l1[1] + gamma * l2[1] l3 = -gamma * l2 + l2[1] + gamma * l3[1] AFRV2 = (l0 + 2 * l1 + 2 * l2 + l3) / 6 ENDIF ENDIF //------------------------------------// // LSMA - Least Square Moving Average // //------------------------------------// IF MATypev2 = 32 THEN Period2 = MAX(Period2, 2) AFRV2 = LinearRegression[Period2](Seriesv2) ENDIF //-----------------------// // MD - McGinley Dynamic // //-----------------------// IF MATypev2 = 33 THEN Period2 = MAX(Period2, 4) IF BarIndex = 0 THEN AFRV2 = Seriesv2 ELSE Pow = (Seriesv2 / AFRV2[1]) * (Seriesv2 / AFRV2[1]) * (Seriesv2 / AFRV2[1]) * (Seriesv2 / AFRV2[1]) AFRV2 = AFRV2[1] + (Seriesv2 - AFRV2[1]) / ((Period2 / 2) * Pow) ENDIF ENDIF //----------------------------------------------// // MHLMA - Middle High Low Range Moving Average // //----------------------------------------------// IF MATypev2 = 34 THEN Period2 = MAX(Period2, 1) // HLRange = 3 HLRange = 3 HH = highest[HLRange](High) LL = lowest[HLRange](Low) AFRV2 = Average[Period2]((HH + LL) / 2) ENDIF //---------------------------------// // MNMA - McNicholl Moving Average // //---------------------------------// IF MATypev2 = 35 THEN Period2 = MAX(Period2, 2) alpha = 2 / (1 + Period2) IF BarIndex = 0 THEN p1 = Seriesv2 p2 = Seriesv2 ELSE p1 = p1[1] + alpha * (Seriesv2 - p1[1]) p2 = p2[1] + alpha * (p1 - p2[1]) ENDIF AFRV2 = (((2 - alpha) * p1 - p2) / (1 - alpha)) ENDIF //--------------------------------------------------------// // NLMA - Non Lag Moving Average (Responsiveness Version) // //--------------------------------------------------------// IF MATypev2 = 36 THEN Period2 = MAX(Period2, 1) // Amplitude = 1 (0...1) // Smooth = -1 (-2...2) Amplitude = 1 Smooth = 1 IF Amplitude > 0 THEN Coeff = 3 * 3.1415926535 / Amplitude ELSE Coeff = 3 * 3.1415926535 ENDIF IF Smooth < -2 THEN Smooth = 0 ENDIF vCycle = 4 vWeight = 0 vSum = 0 Phase = Period2 + Smooth FOR i = 0 TO ((Period2 * vCycle) + Phase) - 1 DO IF i <= Phase - 1 THEN IF Phase = 1 THEN x = i ELSE x = i / (Phase - 1) ENDIF ELSE x = 1.0 + (i - Phase + 1) * (2.0 * vCycle - 1.0) / (vCycle * Period2 - 1.0) ENDIF g = Amplitude / (Coeff * x + 1.0) IF x <= 0.5 THEN g = 1.0 ENDIF vSum = vSum + g * COS(180 * x) * Seriesv2[i] vWeight = vWeight + g * COS(180 * x) NEXT IF vWeight > 0 THEN AFRV2 = vSum / vWeight ELSE AFRV2 = Seriesv2 ENDIF ENDIF //-------------------------------// // NLMA - Non Lag Moving Average // //-------------------------------// IF MATypev2 = 37 THEN Period2 = MAX(Period2, 1) // Amplitude = 0 (0...1) // Smooth = 1 (-2...2) Amplitude = 0 Smooth = 1 IF Amplitude > 0 THEN Coeff = 3 * 3.1415926535 / Amplitude ELSE Coeff = 3 * 3.1415926535 ENDIF IF Smooth < -2 THEN Smooth = 0 ENDIF vCycle = 4 vWeight = 0 vSum = 0 Phase = Period2 + Smooth FOR i = 0 TO ((Period2 * vCycle) + Phase) - 1 DO IF i <= Phase - 1 THEN IF Phase = 1 THEN x = i ELSE x = i / (Phase - 1) ENDIF ELSE x = 1.0 + (i - Phase + 1) * (2.0 * vCycle - 1.0) / (vCycle * Period2 - 1.0) ENDIF g = Amplitude / (Coeff * x + 1.0) IF x <= 0.5 THEN g = 1.0 ENDIF vSum = vSum + g * COS(180 * x) * Seriesv2[i] vWeight = vWeight + g * COS(180 * x) NEXT IF vWeight > 0 THEN AFRV2 = vSum / vWeight ELSE AFRV2 = Seriesv2 ENDIF ENDIF //------------------------// // OMA - One More Average // //------------------------// IF MATypev2 = 38 THEN // Sensibility = 1.5 Sensibility = 1.5 Period2 = MAX(Period2, 1) Sensibility = MAX(Sensibility, -1.5) Data = Average[1](Seriesv2) averagePeriod2 = Period2 IF BarIndex < Period2 THEN AFRV2 = Seriesv2 ELSE IF averagePeriod2 > 1 THEN minPeriod2 = averagePeriod2 / 2.0 maxPeriod2 = minPeriod2 * 5.0 endPeriod2 = ROUND(maxPeriod2) signal = ABS((Data - Data[endPeriod2])) noise = 0.00000000001 FOR k = 1 TO endPeriod2 DO noise = noise + ABS(Data - Data[k]) averagePeriod2 = ROUND(((signal / noise) * (maxPeriod2 - minPeriod2)) + minPeriod2) NEXT ENDIF alpha = (2.0 + Sensibility) / (1.0 + Sensibility + averagePeriod2) e1 = e1 + alpha * (Data - e1) e2 = e2 + alpha * (e1 - e2) v1 = 1.5 * e1 - 0.5 * e2 e3 = e3 + alpha * (v1 - e3) e4 = e4 + alpha * (e3 - e4) v2 = 1.5 * e3 - 0.5 * e4 e5 = e5 + alpha * (v2 - e5) e6 = e6 + alpha * (e5 - e6) AFRV2 = 1.5 * e5 - 0.5 * e6 ENDIF ENDIF //--------------------------------------------// // PEMA - Pentuple Exponential Moving Average // //--------------------------------------------// IF MATypev2 = 39 THEN Period2 = MAX(Period2, 1) MA1 = ExponentialAverage[Period2](Seriesv2) MA2 = ExponentialAverage[Period2](MA1) MA3 = ExponentialAverage[Period2](MA2) MA4 = ExponentialAverage[Period2](MA3) MA5 = ExponentialAverage[Period2](MA4) MA6 = ExponentialAverage[Period2](MA5) MA7 = ExponentialAverage[Period2](MA6) MA8 = ExponentialAverage[Period2](MA7) AFRV2 = (8 * MA1) - (28 * MA2) + (56 * MA3) - (70 * MA4) + (56 * MA5) - (28 * MA6) + (8 * MA7) - MA8 ENDIF //------------------------------------------// // PWMA - Parabolic Weighted Moving Average // //------------------------------------------// IF MATypev2 = 40 THEN Period2 = MAX(Period2, 1) Sum = SumW * Seriesv2 SumW = Period2 * Period2 FOR i = 0 TO Period2 DO Weight = (Period2 - i) * (Period2 - i) SumW = SumW + Weight Sum = Sum + Weight * Seriesv2[i] NEXT AFRV2 = Sum / SumW ENDIF //---------------------------------------------// // QEMA - Quadruple Exponential Moving Average // //---------------------------------------------// IF MATypev2 = 41 THEN Period2 = MAX(Period2, 1) MA1 = ExponentialAverage[Period2](Seriesv2) MA2 = ExponentialAverage[Period2](MA1) MA3 = ExponentialAverage[Period2](MA2) MA4 = ExponentialAverage[Period2](MA3) MA5 = ExponentialAverage[Period2](MA4) AFRV2 = (5 * MA1) - (10 * MA2) + (10 * MA3) - (5 * MA4) + MA5 ENDIF //-------------------------------------------// // REMA - Regularized EMA by Chris Satchwell // //-------------------------------------------// IF MATypev2 = 42 THEN // Lambda = 0.5 ({0.5..9}) Lambda = 0.5 Period2 = MAX(Period2, 1) Lambda = MAX(Lambda, 0) IF BarIndex < 2 THEN AFRV2 = Seriesv2 ELSE AFRV2 = (AFRV2[1] * (1 + 2 * Lambda) + (2 / (Period2 + 1)) * (Seriesv2 - AFRV2[1]) - Lambda * AFRV2[2]) / (1 + Lambda) ENDIF ENDIF //----------------------------------// // RFTL - Reference Fast Trend Line // //----------------------------------// IF MATypev2 = 43 THEN AFRV2 = -0.02232324*Seriesv2[0]+0.02268676*Seriesv2[1]+0.08389067*Seriesv2[2]+0.14630380*Seriesv2[3]+0.19282649*Seriesv2[4]+0.21002638*Seriesv2[5]+0.19282649*Seriesv2[6]+0.14630380*Seriesv2[7]+0.08389067*Seriesv2[8]+0.02268676*Seriesv2[9]-0.02232324*Seriesv2[10]-0.04296564*Seriesv2[11]-0.03980614*Seriesv2[12]-0.02082171*Seriesv2[13]+0.00243636*Seriesv2[14]+0.01950580*Seriesv2[15]+0.02460929*Seriesv2[16]+0.01799295*Seriesv2[17]+0.00470540*Seriesv2[18]-0.00831985*Seriesv2[19]-0.01544722*Seriesv2[20]-0.01456262*Seriesv2[21]-0.00733980*Seriesv2[22]+0.00201852*Seriesv2[23]+0.00902504*Seriesv2[24]+0.01093067*Seriesv2[25]+0.00766099*Seriesv2[26]+0.00145478*Seriesv2[27]-0.00447175*Seriesv2[28]-0.00750446*Seriesv2[29]-0.00671646*Seriesv2[30]-0.00304016*Seriesv2[31]+0.00143433*Seriesv2[32]+0.00457475*Seriesv2[33]+0.00517589*Seriesv2[34]+0.00336708*Seriesv2[35]+0.00034406*Seriesv2[36]-0.00233637*Seriesv2[37]-0.00352280*Seriesv2[38]-0.00293522*Seriesv2[39]-0.00114249*Seriesv2[40]+0.00083536*Seriesv2[41]+0.00215524*Seriesv2[42]+0.00604133*Seriesv2[43]-0.00013046*Seriesv2[44] ENDIF //----------------------------------// // RSTL - Reference Slow Trend Line // //----------------------------------// IF MATypev2 = 44 THEN AFRV2 = -0.00514293*Seriesv2[0]-0.00398417*Seriesv2[1]-0.00262594*Seriesv2[2]-0.00107121*Seriesv2[3]+0.00066887*Seriesv2[4]+0.00258172*Seriesv2[5]+0.00465269*Seriesv2[6]+0.00686394*Seriesv2[7]+0.00919334*Seriesv2[8]+0.01161720*Seriesv2[9]+0.01411056*Seriesv2[10]+0.01664635*Seriesv2[11]+0.01919533*Seriesv2[12]+0.02172747*Seriesv2[13]+0.02421320*Seriesv2[14]+0.02662203*Seriesv2[15]+0.02892446*Seriesv2[16]+0.03109071*Seriesv2[17]+0.03309496*Seriesv2[18]+0.03490921*Seriesv2[19]+0.03651145*Seriesv2[20]+0.03788045*Seriesv2[21]+0.03899804*Seriesv2[22]+0.03984915*Seriesv2[23]+0.04042329*Seriesv2[24]+0.04071263*Seriesv2[25]+0.04071263*Seriesv2[26]+0.04042329*Seriesv2[27]+0.03984915*Seriesv2[28]+0.03899804*Seriesv2[29]+0.03788045*Seriesv2[30]+0.03651145*Seriesv2[31]+0.03490921*Seriesv2[32]+0.03309496*Seriesv2[33]+0.03109071*Seriesv2[34]+0.02892446*Seriesv2[35]+0.02662203*Seriesv2[36]+0.02421320*Seriesv2[37]+0.02172747*Seriesv2[38]+0.01919533*Seriesv2[39]+0.01664635*Seriesv2[40]+0.01411056*Seriesv2[41]+0.01161720*Seriesv2[42]+0.00919334*Seriesv2[43]+0.00686394*Seriesv2[44]+0.00465269*Seriesv2[45]+0.00258172*Seriesv2[46]+0.00066887*Seriesv2[47]-0.00107121*Seriesv2[48]-0.00262594*Seriesv2[49]-0.00398417*Seriesv2[50]-0.00514293*Seriesv2[51]-0.00609634*Seriesv2[52]-0.00684602*Seriesv2[53]-0.00739452*Seriesv2[54]-0.00774847*Seriesv2[55]-0.00791630*Seriesv2[56]-0.00790940*Seriesv2[57]-0.00774085*Seriesv2[58]-0.00742482*Seriesv2[59]-0.00697718*Seriesv2[60]-0.00641613*Seriesv2[61]-0.00576108*Seriesv2[62]-0.00502957*Seriesv2[63]-0.00423873*Seriesv2[64]-0.00340812*Seriesv2[65]-0.00255923*Seriesv2[66]-0.00170217*Seriesv2[67]-0.00085902*Seriesv2[68]-0.00004113*Seriesv2[69]+0.00073700*Seriesv2[70]+0.00146422*Seriesv2[71]+0.00213007*Seriesv2[72]+0.00272649*Seriesv2[73]+0.00324752*Seriesv2[74]+0.00368922*Seriesv2[75]+0.00405000*Seriesv2[76]+0.00433024*Seriesv2[77]+0.00453068*Seriesv2[78]+0.00465046*Seriesv2[79]+0.00469058*Seriesv2[80]+0.00466041*Seriesv2[81]+0.00457855*Seriesv2[82]+0.00442491*Seriesv2[83]+0.00423019*Seriesv2[84]+0.00399201*Seriesv2[85]+0.00372169*Seriesv2[86]+0.00342736*Seriesv2[87]+0.00311822*Seriesv2[88]+0.00280309*Seriesv2[89]+0.00249088*Seriesv2[90]+0.00219089*Seriesv2[91]+0.00191283*Seriesv2[92]+0.00166683*Seriesv2[93]+0.00146419*Seriesv2[94]+0.00131867*Seriesv2[95]+0.00124645*Seriesv2[96]+0.00126836*Seriesv2[97]-0.00401854*Seriesv2[98] ENDIF //---------------------------------// // SATL - Slow Adaptive Trend Line // //---------------------------------// IF MATypev2 = 45 THEN AFRV2 = 0.0982862174*Seriesv2[0]+0.0975682269*Seriesv2[1]+0.0961401078*Seriesv2[2]+0.0940230544*Seriesv2[3]+0.0912437090*Seriesv2[4]+0.0878391006*Seriesv2[5]+0.0838544303*Seriesv2[6]+0.0793406350*Seriesv2[7]+0.0743569346*Seriesv2[8]+0.0689666682*Seriesv2[9]+0.0632381578*Seriesv2[10]+0.0572428925*Seriesv2[11]+0.0510534242*Seriesv2[12]+0.0447468229*Seriesv2[13]+0.0383959950*Seriesv2[14]+0.0320735368*Seriesv2[15]+0.0258537721*Seriesv2[16]+0.0198005183*Seriesv2[17]+0.0139807863*Seriesv2[18]+0.0084512448*Seriesv2[19]+0.0032639979*Seriesv2[20]-0.0015350359*Seriesv2[21]-0.0059060082*Seriesv2[22]-0.0098190256*Seriesv2[23]-0.0132507215*Seriesv2[24]-0.0161875265*Seriesv2[25]-0.0186164872*Seriesv2[26]-0.0205446727*Seriesv2[27]-0.0219739146*Seriesv2[28]-0.0229204861*Seriesv2[29]-0.0234080863*Seriesv2[30]-0.0234566315*Seriesv2[31]-0.0231017777*Seriesv2[32]-0.0223796900*Seriesv2[33]-0.0213300463*Seriesv2[34]-0.0199924534*Seriesv2[35]-0.0184126992*Seriesv2[36]-0.0166377699*Seriesv2[37]-0.0147139428*Seriesv2[38]-0.0126796776*Seriesv2[39]-0.0105938331*Seriesv2[40]-0.0084736770*Seriesv2[41]-0.0063841850*Seriesv2[42]-0.0043466731*Seriesv2[43]-0.0023956944*Seriesv2[44]-0.0005535180*Seriesv2[45]+0.0011421469*Seriesv2[46]+0.0026845693*Seriesv2[47]+0.0040471369*Seriesv2[48]+0.0052380201*Seriesv2[49]+0.0062194591*Seriesv2[50]+0.0070340085*Seriesv2[51]+0.0076266453*Seriesv2[52]+0.0080376628*Seriesv2[53]+0.0083037666*Seriesv2[54]+0.0083694798*Seriesv2[55]+0.0082901022*Seriesv2[56]+0.0080741359*Seriesv2[57]+0.0077543820*Seriesv2[58]+0.0073260526*Seriesv2[59]+0.0068163569*Seriesv2[60]+0.0062325477*Seriesv2[61]+0.0056078229*Seriesv2[62]+0.0049516078*Seriesv2[63]+0.0161380976*Seriesv2[64] ENDIF //-----------------------------// // SMA - Simple Moving Average // //-----------------------------// IF MATypev2 = 46 THEN Period2 = MAX(Period2, 1) AFRV2 = Average[Period2](Seriesv2) ENDIF //---------------------------------------// // SSF2P - 2-Pole Super Smoothing Filter // //---------------------------------------// IF MATypev2 = 47 THEN Period2 = MAX(Period2, 1) a1 = EXP(-1.414 * 3.14159 / Period2) b1 = 2 * a1 * COS(1.414 * 180 / Period2) coef2 = b1 coef3 = -a1 * a1 coef1 = 1 - coef2 - coef3 IF BarIndex < 2 THEN AFRV2 = Seriesv2 ELSE AFRV2 = coef1 * Seriesv2 + coef2 * AFRV2[1] + coef3 * AFRV2[2] ENDIF ENDIF //---------------------------------------// // SSF3P - 3-Pole Super Smoothing Filter // //---------------------------------------// IF MATypev2 = 48 THEN Period2 = MAX(Period2, 1) a1 = EXP(-3.14159 / Period2) b1 = 2 * a1 * COS(1.738 * 180 / Period2) c1 = a1 * a1 coef2 = b1 + c1 coef3 = -(c1 + b1 * c1) coef4 = c1 * c1 coef1 = 1 - coef2 - coef3 - coef4 IF BarIndex < 3 THEN AFRV2 = Seriesv2 ELSE AFRV2 = coef1 * Seriesv2 + coef2 * AFRV2[1] + coef3 * AFRV2[2] + coef4 * AFRV2[3] ENDIF ENDIF //---------------------------------------// // SSMA - Smoothed Simple Moving Average // //---------------------------------------// IF MATypev2 = 49 THEN Period2 = MAX(Period2, 1) IF BarIndex = 0 THEN AFRV2 = Seriesv2 ELSE AFRV2 = AFRV2[1] + (Seriesv2 - AFRV2[1]) / Period2 ENDIF ENDIF //-------------------------------------// // SWMA - Sine Weighted Moving Average // //-------------------------------------// IF MATypev2 = 50 THEN Period2 = MAX(Period2, 1) Sum = 0 CSum = 0 FOR j = 0 TO Period2 - 1 DO Sum = Sum + Seriesv2[j] * SIN(90 * (1 - j / Period2)) CSum = CSum + SIN(90 * (1 - j / Period2)) NEXT IF CSum <= 0 THEN AFRV2 = Seriesv2 ELSE AFRV2 = Sum / CSum ENDIF ENDIF //--------------------------// // T3MA - T3 Moving Average // //--------------------------// IF MATypev2 = 51 THEN Period2 = MAX(Period2, 1) // Hot = 0.7 ({-1.5..1.5}) Hot = 0.7 e1 = ExponentialAverage[Period2](Seriesv2) e2 = ExponentialAverage[Period2](e1) e3 = ExponentialAverage[Period2](e2) e4 = ExponentialAverage[Period2](e3) e5 = ExponentialAverage[Period2](e4) e6 = ExponentialAverage[Period2](e5) b = Hot b2 = (b * b) b3 = (b * b * b) c1 = -b3 c2 = (3 * b2) + (3 * b3) c3 = (-6 * b2) - (3 * b) - (3 * b3) c4 = 1 + (3 * b) + b3 + (3 * b2) AFRV2 = c1 * e6 + c2 * e5 + c3 * e4 + c4 * e3 ENDIF //------------------------------------------// // TEMA - Triple Exponential Moving Average // //------------------------------------------// IF MATypev2 = 52 THEN Period2 = MAX(Period2, 1) AFRV2 = TEMA[Period2](Seriesv2) ENDIF //---------------------------------// // TMA - Triangular Moving Average // //---------------------------------// IF MATypev2 = 53 THEN Period2 = MAX(Period2, 1) AFRV2 = TriangularAverage[Period2](Seriesv2) ENDIF //---------------------------// // TSA - Time Seriesv2 Average // //---------------------------// IF MATypev2 = 54 THEN Period2 = MAX(Period2, 1) AFRV2 = TimeSeriesAverage[Period2](Seriesv2) ENDIF //----------------------------------------// // VIDYA - Variable Index Dynamic Average // //----------------------------------------// IF MATypev2 = 55 THEN Period2 = MAX(Period2, 4) // Smooth = 5 Smooth = 5 ONCE SC = 2 / (Smooth + 1) AbsCMO = (ABS(Chandle[Period2](Seriesv2))) / 100 IF BarIndex < Period2 THEN AFRV2 = Seriesv2 ELSE AFRV2 = (SC * AbsCMO * Seriesv2) + (1 - (SC * AbsCMO)) * AFRV2 ENDIF ENDIF //-------------------------------// // VMA - Variable Moving Average // //-------------------------------// IF MATypev2 = 56 THEN Period2 = MAX(Period2, 4) IF BarIndex < Period2 THEN AFRV2 = Seriesv2 ELSE k = 1.0 / Period2 pdm = MAX((Seriesv2 - Seriesv2[1]), 0) mdm = MAX((Seriesv2[1] - Seriesv2), 0) pdmS = ((1 - k) * (pdmS[1]) + k * pdm) mdmS = ((1 - k) * (mdmS[1]) + k * mdm) s = pdmS + mdmS pdi = pdmS / s mdi = mdmS / s pdiS = ((1 - k) * (pdiS[1]) + k * pdi) mdiS = ((1 - k) * (mdiS[1]) + k * mdi) d = ABS(pdiS - mdiS) s1 = pdiS + mdiS iS = ((1 - k) * (iS[1]) + k * d / s1) hhv = highest[Period2](iS) llv = lowest[Period2](iS) d1 = hhv - llv vI = (iS - llv) / d1 AFRV2 = (1 - k * vI) * (AFRV2[1]) + k * vI * Seriesv2 ENDIF ENDIF //--------------------------------------// // VWAP - Volume Weighted Average Price // //--------------------------------------// IF MATypev2 = 57 THEN Period2 = MAX(Period2, 1) SumVol = summation[Period2](Volume) IF SumVol = 0 THEN SumVol = 1 ENDIF AFRV2 = summation[Period2](Seriesv2 * Volume) / summation[Period2](Volume) ENDIF //------------------------------// // WIMA - Wilder Moving Average // //------------------------------// IF MATypev2 = 58 THEN Period2 = MAX(Period2, 1) AFRV2 = WilderAverage[Period2](Seriesv2) ENDIF //----------------------------------------------// // WLSMA - Weighted Least Square Moving Average // //----------------------------------------------// IF MATypev2 = 59 THEN Period2 = MAX(Period2, 1) // NumBars = 4 NumBars = 4 LR = LinearRegression[NumBars](Seriesv2) AFRV2 = WeightedAverage[Period2](LR) ENDIF //-------------------------------// // WMA - Weighted Moving Average // //-------------------------------// IF MATypev2 = 60 THEN Period2 = MAX(Period2, 1) AFRV2 = WeightedAverage[Period2](Seriesv2) ENDIF //----------------------// // ZLBMT - Zero Lag BMT // //----------------------// IF MATypev2 = 61 THEN Period2 = MAX(Period2, 1) EMA0 = ExponentialAverage[Period2](Seriesv2) EMA1 = ExponentialAverage[Period2](EMA0) AFRV2 = EMA0 + (EMA0 - EMA1) ENDIF //-----------------------------------------------------// // ZLDEMA - Zero Lag Double Exponential Moving Average // //-----------------------------------------------------// IF MATypev2 = 62 THEN Period2 = MAX(Period2, 1) DEMA0 = DEMA[Period2](Seriesv2) DEMA1 = DEMA[Period2](DEMA0) AFRV2 = DEMA0 + (DEMA0 - DEMA1) ENDIF //----------------------------// // ZLFF - Zero Lag FIR Filter // //----------------------------// IF MATypev2 = 63 THEN AFRV2 = (Seriesv2 + 2 * Seriesv2[1] + 3 * Seriesv2[2] + 3 * Seriesv2[3] + 2 * Seriesv2[4] + Seriesv2[5]) / 12 ENDIF //----------------------------// // ZLIF - Zero Lag IIR Filter // //----------------------------// IF MATypev2 = 64 THEN Period2 = MAX(Period2, 1) k = 2 / (Period2 + 1) x = ROUND((Period2 - 1) / 2) IF BarIndex <= MAX(x, 0) THEN AFRV2 = Seriesv2 ELSE AFRV2 = k * (2 * Seriesv2 - Seriesv2[x]) + (1 - k) * AFRV2[1] ENDIF ENDIF //-----------------------------// // ZLJE - Zero Lag John Ehlers // //-----------------------------// IF MATypev2 = 65 THEN Period2 = MAX(Period2, 2) alpha = 2 / (1 + Period2) per = ROUND((Period2 - 1) / 2) IF BarIndex < per THEN AFRV2 = Seriesv2 ELSE AFRV2 = AFRV2[1] + alpha * (2 * Seriesv2 - Seriesv2[per] - AFRV2[1]) ENDIF ENDIF //--------------------------------// // ZLWBMT - Zero Lag Weighted BMT // //--------------------------------// IF MATypev2 = 66 THEN Period2 = MAX(Period2, 1) WMA0 = WeightedAverage[Period2](Seriesv2) WMA1 = WeightedAverage[Period2](WMA0) AFRV2 = WMA0 + (WMA0 - WMA1) ENDIF //-----------------------------------------// // Range based AV high + STD - low - STD // //-----------------------------------------// IF MATypev2 = 67 THEN Type = 1 //exponential average NxStd = 1 //Standard dev multiplier AvH= Average[Period2,Type](high) + NxStd * STD[Period2](high) //higher green line HIGH + Std AvL= Average[Period2,Type](low) + NxStd * STD[Period2](low) //lower green line LOW + Std Av= Average[Period2,Type](close) AvHL= Average[Period2,Type](high) - NxStd * STD[Period2](high) //higher red line HIGH - Std AvLL= Average[Period2,Type](low) - NxStd * STD[Period2](low) //lower red line LOW - Std AFRV2 = average[Period2,Type]((close +AvH + AvL + Av + AvHL + AvLL)/6) endif //--------------------------------// // Average lowest plus highest // //--------------------------------// IF MATypev2 = 68 THEN Period2 = MAX(Period2, 1) AFRV2 = (lowest[Period2](seriesv2) + highest[Period2](seriesv2))/2 ENDIF //--------------------------------// // 69 DEMA adjusted by itself // //--------------------------------// IF MATypev2 = 69 THEN Period2 = MAX(Period2, 1) AFRV2 = 2 * DEMA[Period2](Seriesv2) - DEMA[Period2](DEMA[Period2](Series)) ENDIF ///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// ///////////////////////////////////// wAFR = exponentialaverage[30](AFR) ///for smoothing the AFR, to reduce market noice wAFRv2 = exponentialaverage[30](AFRv2) ///for smoothing the AFRv2, to reduce market noice if time >= StartE And time <= StartL and OTD then //and not onmarket then IF wAFR > wAFRv2 and wAFR[1] < wAFRv2[1] then buy N shares AT MARKET SET STOP PLOSS TSL //SET STOP PTRAILING TSL //SET TARGET PPROFIT TSL else if wAFR < wAFRv2 and wAFR[1] > wAFRv2[1] then sellshort N shares at market SET STOP PLOSS TSL //SET STOP PTRAILING TSL //SET TARGET PPROFIT TSL endif endif endif -
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errore di programmazione
ProOrder: Trading Automatico & Backtesting
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| Forum: | ProOrder: Trading Automatico & Backtesting |
| Language: | Italian |
| Started: | 12/27/2020 |
| Status: | Active |
| Attachments: | No files |
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