Stock Portfolio Organizer

The ultimate porfolio management solution.

Shares, Margin, CFD's, Futures and Forex
EOD and Realtime
Dividends and Trust Distributions
And Much More ....
For Portfolio Manager Click Here

WiseTrader Toolbox

#1 Selling Amibroker Plugin featuring:

Advanced Adaptive Indicators
Advanced Pattern Exploration
Neural Networks
And Much More ....
Find Out More Here

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

Similar Indicators / Formulas

Debu Market Efficiency Ratio
Submitted by agent301 almost 7 years ago
MACD (new timing)
Submitted by tigernifty almost 7 years ago
3 Days Track
Submitted by janet0211 about 9 years ago
KILL THE OPERATOR MACD
Submitted by prasadmuni almost 7 years ago
%R ++
Submitted by reb about 9 years ago
DMI Spread
Submitted by pipstar about 9 years ago

Indicator / Formula

Copy & Paste Friendly
  /*
Smoothed Adaptive Momentum, p. 166
From 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);

2 comments

1. bower

This formula gave me error line 52

2. ramshirsath

no error to me .
Time frame 5 minutes
but interpritation is required .

Leave Comment

Please login here to leave a comment.

Back