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Median Average Adaptive Filter for Amibroker (AFL)
Rating:
5 / 5 (Votes 1)
Tags:
amibroker, moving average
This indicator is by John Ehler and is an adaptive moving average that adjusts the smoothing parameter depending on the percentage difference between the outputs of the same-length medial and exponential moving average.
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Indicator / Formula
Copy & Paste Friendly
Price = ( H + L ) /2;
Threshold = 0.002;
Smooth = (Price + 2 * Ref( Price, -1 ) + 2 * Ref( Price, -2 ) + Ref(Price, -3 ) )/6;
Length = 39;
Value3 = 0.2;
AvgLength = 39;
for( Length = 39; Length >= 3; Length = Length - 2 )
{
alpha = 2 / ( Length + 1 );
Value1 = Median( Smooth, Length );
Value2 = AMA( Smooth, alpha );
Value3 = Nz( abs( Value1 - Value2 )/Value1 );
AvgLength = IIf( Value3 > Threshold, Length, AvgLength );
}
alpha = 2 / (AvgLength + 1);
Filt = AMA( Smooth, alpha );
Plot( C, "Price", colorBlack, styleCandle );
Plot( Filt, "Filt", colorRed );0 comments
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