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//KAMA
LBPeriods = Param( "LB Periods", 10, 1, 200, 1 );
FSCPeriods = Param( "FSC Periods", 2, 1, 200, 1 );
SSCPeriods = Param( "SSC Periods", 30, 1, 200, 1 );
FastSmoothConst = 2 / ( FSCPeriods + 1 );
SlowSmoothConst = 2 / ( SSCPeriods + 1 );
Direction = abs( Close - Ref( Close, -LBPeriods ) );
Volatility = Sum( abs( Close - Ref( Close, -1 ) ), LBPeriods );
EfficiencyRatio = Direction / Volatility;
SC = ( EfficiencyRatio * ( FastSmoothConst - SlowSmoothConst ) +
SlowSmoothConst ) ^ 2;
KAMA = AMA( Close, SC );
Plot( KAMA, "KAMA", ParamColor( "Color", colorYellow ), styleLine );
// MAMA and FAMA
FastLimit = Param( "Fast Limit", 0.5, 0, 10, 0.1 );
SlowLimit = Param( "Slow Limit", 0.05, 0, 1, 0.01 );
Price = ( H + L ) / 2;
Smooth = ( 4 * Price + 3 * Ref( Price, -1 ) + 2 * Ref( Price, -2 ) + Ref(
Price, -3 ) ) / 10;
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; i < BarCount; i++ )
{
if ( i < 6 )
{
// 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 )
Period[ i ] = ( 2 * PI ) / atan( Im[ i ] / Re[ i ] );
if ( Period[ i ] > 1.5 * Period[ i-1 ] )
Period[ i ] = 1.5 * Period[ i-1 ];
if ( Period[ i ] < 0.67 * Period[ i-1 ] )
Period[ i ] = 0.67 * Period[ i-1 ];
if ( Period[ i ] < 6 )
Period[ i ] = 6;
if ( Period[ i ] > 50 )
Period[ i ] = 50;
Period[ i ] = 0.2 * Period[ i ] + 0.8 * Period[ i-1 ];
if ( I1[ i ] != 0 )
Phase[ i ] = ( 180 / PI ) * atan( Q1[ i ] / I1[ i ] );
DeltaPhase[ i ] = Phase[ i-1 ] - Phase[ i ];
if ( DeltaPhase[ i ] < 1 )
DeltaPhase[ i ] = 1;
}
}
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 );
Plot( MAMA, "MAMA", ParamColor( "MAMA Color", colorYellow ), styleLine );
Plot( FAMA, "FAMA", ParamColor( "FAMA Color", colorRed ), styleLine );
----- Original Message -----
From: "ihumbleone" <ihumbleone@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, September 27, 2008 5:31 AM
Subject: [amibroker] Kind Request of Ehlers MAMA, FAMA & Kaufman KAMA
Indicators with buy sell signal
> Hi all,
> Im a newbie to AFL programming.
>
> May you anyone kindly assist me i have been searching Amibroker AFL
> Formula for for Ehlers MESA Adaptive Moving Average (MAMA and FAMA)
> with buy sell signals and Kaufman's Adaptive Moving Average KAMA but
> in vain.
>
> It would be great if you can share the formulas if you have them.
>
>
> "The MESA Adaptive Moving Average (MAMA) adapts to price movement
> based on the rate of change of phase as measured by the Hilbert
> Transform Discriminator (Technical Analysis of Stocks and Commodities
> magazine, December 2000). This method features a fast attack average
> and a slow decay average so that composite average rapidly ratchets
> behind price changes and holds the average value until the next
> ratchet occurs." The crossing of the MAMA and FAMA lines can be used
> to generate Buy and Sell signals. When the MAMA crosses above the
> FAMA a buy signal is given. Alternatively, when the MAMA crosses
> below the FAMA a sell signal is given.
>
> As for KAMA, Developed by Perry Kaufman, this indicator is a moving
> average that automatically adjusts its speed based on market
> volatility.
>
> Sincere Thanks
> Warmest Rgds
> Ihumbleone
>
>
> ------------------------------------
>
> **** IMPORTANT ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
>
> *********************
> TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
> *********************
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> *********************************
> Yahoo! Groups Links
>
>
>
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
*********************************
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