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Ehlers - Non Linear Filters for Amibroker (AFL)
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5 / 5 (Votes 2)
Tags:
amibroker
Nonlinear Ehlers Filters
Linear filters like moving averagesare great for slow, “stationary” data.Unfortunately, prices aren’t slow or stationary
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Indicator / Formula
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 | _SECTION_BEGIN("SONGOKU DRAGON");//Nonlinear Ehlers Filter//MODIFIED=SONGOKUDRAGON Price = (H+L)/2;MomLength = 10;PriceMomSum = 0;FiveMomSum = 0;FiveMom = abs(Price - Ref(Price, -5));PriceMom = Price * FiveMom;for (i=0; i < MomLength; i++) { PriceMomSum = PriceMomSum + Ref(PriceMom, -i); FiveMomSum = FiveMomSum + Ref(FiveMom, -i);}NLEF = PriceMomSum / FiveMomSum;Buy= Close > NLEF;Sell= Close < NLEF;Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy); PlotShapes( shapeUpArrow* Buy , colorBrightGreen ,0);PlotShapes( shapeDownArrow* Sell, colorRed ,0);Plot(Close, "Close", colorWhite, styleThick);Plot(NLEF, "NonLinear Ehlers Filter", IIf(Close>NLEF, colorBrightGreen, colorRed), styleThick);GraphXSpace = 10;Filter = Buy OR Sell;Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy); AddTextColumn(FullName(),"Name");AddColumn( Buy, "BUY" );AddColumn( Sell, "SELL" );_SECTION_END(); |
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