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/* MESA Adaptive Moving Averages:
** MAMA and FAMA
**
** From Stocks & Commodities 7/2001
**
** AFL implementation by Tomasz Janeczko, October 2001
**
** For faster operation please check DLL version
**/
EnableScript("VBScript");
FastLimit=0.5;
SlowLimit=0.05;
Price = (H+L)/2;
Smooth = ( 4 * Price + 3 * Ref( Price,-1) + 2 * Ref(Price,-2) +
Ref(Price,-3))/10;
<%
Price = AFL("Price")
Smooth = AFL("Smooth")
nSize = UBound( Smooth )
' every Other Variable is an array Of the same size as smooth
' so just make A copy (quick init)
Detrender = Smooth
II2 = Smooth
Q2 = Smooth
Re = Smooth
Im = Smooth
I1 = Smooth
Q1 = Smooth
jl = Smooth
jQ = Smooth
Phase = Smooth
DeltaPhase = Smooth
Period = Smooth
PI = 3.1415926
For i = 0 To nSize
If i < 6 then
' init previous values to avoid problems
' with exp. averaging of uninitialized values
' later
DeltaPhase( i ) = 0
II2( i ) = 1.0
Q2( i ) = 1.0
Re( i ) = 0
Im( i ) = 0
Period( i ) = 6
Else
factor = 0.075 * Period( i - 1 ) + 0.54
Detrender( i ) = ( ( 0.0962 *Smooth( i ) + 0.5769 * Smooth( i - 2 ) _
- 0.5769 * Smooth( i - 4) - 0.0962 * Smooth( i - 6
) ) * factor )
Q1( i ) = ( ( 0.0962 *Detrender( i ) + 0.5769 * Detrender( i - 2 ) _
- 0.5769 * Detrender( i - 4) - 0.0962 * Detrender( i - 6 )
) * factor )
I1( i ) = Detrender( i - 3 )
jl( i ) = ( ( 0.0962 *I1( i ) + 0.5769 * I1( i - 2 ) _
- 0.5769 * I1( i - 4) - 0.0962 * I1( i - 6 ) ) * factor )
jQ( i ) = ( ( 0.0962 *Q1( i ) + 0.5769 * Q1( i - 2 ) _
- 0.5769 * Q1( i - 4) - 0.0962 * Q1( i - 6 ) ) * factor )
II2( i ) = I1( i ) - jQ( i )
Q2( i ) = Q1( i ) + jl( i )
II2( i ) = 0.2 * II2( i ) + 0.8 * II2( i - 1 )
Q2( i ) = 0.2 * Q2( i ) + 0.8 * Q2( i - 1 )
Re( i ) = II2( i ) * II2( i - 1 ) + Q2( i ) * Q2( i - 1 )
Im( i ) = II2( i ) * Q2( i - 1 ) - Q2( i ) * II2( i - 1 )
Re( i ) = 0.2 * Re( i ) + 0.8 * Re( i - 1 )
Im( i ) = 0.2 * Im( i ) + 0.8 * Im( i - 1 )
Period( i ) = Period( i - 1)
if ( Im( i ) <> 0 ) AND ( Re( i ) <> 0 ) Then
Period( i ) = (2 * PI) / atn( Im( i ) / Re( i ) )
End If
if( Period( i ) > 1.5 * Period( i - 1 ) ) Then Period( i ) = 1.5 *
Period( i - 1 )
if( Period( i ) < 0.67 * Period( i - 1 ) ) Then Period( i ) = 0.67 *
Period( i - 1 )
if( Period( i ) < 6 ) Then Period( i ) = 6
if( Period( i ) > 50 ) Then Period( i ) = 50
Period( i ) = 0.2 * Period( i ) + 0.8 * Period( i - 1 )
if( I1( i ) <> 0 ) Then Phase( i ) = (180/PI) * atn( Q1( i )/ I1( i )
)
DeltaPhase( i ) = Phase( i - 1 ) - Phase( i )
if( DeltaPhase( i ) < 1 ) Then DeltaPhase( i ) = 1
End If
Next
AFL("DeltaPhase") = DeltaPhase
%>
DeltaPhase = DeltaPhase;
alpha = FastLimit/DeltaPhase;
alpha = Min( alpha, FastLimit ); // not more than fast limit
alpha = Max( alpha, SlowLimit ); // not less than slow limit
MAMA = AMA( Price, alpha );
FAMA = AMA( MAMA, 0.5 * alpha );
Graph0 = MAMA;
Graph1 = FAMA;
Graph2 = Close;
Graph2Style = 64;
nurudinkaba wrote:
> Has anyone written AFL for above...and would be willing to share?
>
> Thanks
>
>
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