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Ehlers Smoothed Adaptive Momentum for Amibroker (AFL)
Rating:
5 / 5 (Votes 1)
Tags:
oscillator, amibroker
Smoothed Adaptive Momentum is a formula converted from the tradestation code described from the book “Cybernetic Analysis for Stocks and Futures”.
Original Author : John Ehlers
Source : Cybernetic Analysis for Stocks and Futures p.166
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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 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 | /*Smoothed Adaptive Momentum, p. 166From Ehlers book: Cybernetic Analysis for Stocks and Futures*/SetBarsRequired(1000000,1000000);price=(H+L)/2;alpha=Param("alpha",0.07,0.01,1,0.01);Cutoff=Param("Cutoff",8,2,21,1);pi=4*atan(1);DTR=pi/180;RTD=1/DTR;Cycle=0;I1=0;Q1=0;InstPeriod=0;DeltaPhase=0;MedianDelta=0;DC=0;Value1=0;DCPeriod=0;RealPart=0;ImagPart=0;DCPhase=0;Period=0;V1=0;a1=0;b1=0;c1=0;coef1=0;coef2=0;coef3=0;coef4=0;filt3=0; Smooth = (Price + 2*Ref(Price,-1) + 2*Ref(Price,-2) + Ref(Price,-3))/6; for(i=36;i<BarCount;i++)//BarCount-300{ Cycle[i] = ((1-0.5*alpha[i])^2)*(Smooth[i] - 2*Smooth[i-1] + Smooth[i-2]) + 2*(1-alpha[i])*Cycle[i-1] - ((1-alpha[i])^2)*Cycle[i-2]; if(i<7) Cycle[i]=(Price[i]-2*Price[i-1]+Price[i-2])/4; //Hilbert Transform Q1[i] = (0.0962*Cycle[i] + 0.5769*Cycle[i-2] - 0.5769*Cycle[i-4] - 0.0962*Cycle[i-6]) * (0.5 + 0.08*InstPeriod[i-1]); I1[i] = Cycle[i-3]; if (Q1[i] != 0 AND Q1[i-1] != 0) DeltaPhase[i] = (I1[i]/Q1[i] - I1[i-1]/Q1[i-1]) / (1 + I1[i]*I1[i-1]/(Q1[i]*Q1[i-1])); if (DeltaPhase[i] < 0.1) DeltaPhase[i] = 0.1; if (DeltaPhase[i] > 1.1) DeltaPhase[i] = 1.1; MedianDelta=Median(DeltaPhase , 5); if (MedianDelta[i] == 0) DC[i]=15; else DC[i] = 2*pi/MedianDelta[i] + 0.5; //changed from 0.5 (to 1.28) InstPeriod[i] = 0.33*DC[i] + 0.67*InstPeriod[i-1]; Period[i] = (0.15*InstPeriod[i] + 0.85*Period[i-1]); //added int//----------------------------------------------------------------------------------------------------------------------------------------------------- V1[i]=Price[i]-Price[i-(int(Period[i])-1)]; a1[i]=exp(-pi/Cutoff); b1[i]=2*a1[i]*cos((1.738*180/Cutoff)*DTR); c1[i]=a1[i]^2; coef2[i]=b1[i]+c1[i]; coef3[i]=-(c1[i]+b1[i]*c1[i]); coef4[i]=c1[i]^2; coef1[i]=1-coef2[i]-coef3[i]-coef4[i]; filt3[i]=coef1[i]*V1[i] + coef2[i]*filt3[i-1] + coef3[i]*filt3[i-2] + coef4[i]*filt3[i-3]; if(i<4) filt3[i]=V1[i];}GraphXSpace=5;Plot(filt3,"Smoothed Adaptive Momentum",colorBlue,styleStaircase );PlotGrid(0,0); |
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This formula gave me error line 52
no error to me .
Time frame 5 minutes
but interpritation is required .