Fractal adaptive moving average
Average that follows trends closely and flattens in chop, from the fractal dimension.
Inputs
| Name | Type | Default | Range |
|---|---|---|---|
| period | int | 14 | 1 to 5000 |
Outputs
| Name | Type | Required | Description |
|---|---|---|---|
| frama | value | Optional | color theme.accent, style line, width 1 |
- Warm-up
- 2 * period - 1 bars (27 at the defaults)
- Repaints
- No
- Parity
- MetaTrader 5, within 1e-12
Formula
N1 = (highest high - lowest low over the last period bars) / period
N2 = the same over the period bars before those, N3 = the same over all 2 * period bars divided by 2 * period
D = (ln(N1 + N2) - ln(N3)) / ln(2), alpha = exp(-4.6 * (D - 1))
FRAMA[i] = alpha * close[i] + (1 - alpha) * FRAMA[i-1]
The first 2 * period - 1 values are left empty.