Adaptive Moving Average (AMA) is used for constructing a moving average with low sensitivity to price series noises and is characterized by the minimal lag for trend detection.
This indicator was developed and described by Perry Kaufman in his book "Smarter Trading".
One of disadvantages of different smoothing algorithms for price series is that accidental price leaps can result in the appearance of false trend signals. On the other hand, smoothing leads to the unavoidable lag in predicting the trends. This indicator was developed to overcome these two disadvantages.
Adaptive Moving Average Indicator
To define the current market state Kaufman introduced the notion of Efficiency Ratio (ER), which is calculated by the below formula:
ER(i) = Sinal(i)/Noise(i)
At a strong trend the Efficiency Ratio (ER) will tend to 1; if there is no directed movement, it will be a little more than 0.
The obtained value of ER is used in the exponential smoothing formula:
EMA(i) = Price(i) * SC + EMA(i-1) * (1 - SC)
The smoothing ratio for the fast market mast be as for EMA with period 2 (fast SC = 2/(2+1) = 0.6667), and for the period of no trend EMA period must be equal to 30 (slow SC = 2/(30+1) = 0.06452). Thus the new changing smoothing constant is introduced (scaled smoothing constant) SSC:
SSC(i) = (ER(i) * ( fast SC - slow SC) + slow SC
SSC(i) = ER(i) * 0.60215 + 0.06425
For a more efficient influence of the obtained smoothing constant on the averaging period Kaufman recommends squaring it.
Final calculation formula:
AMA(i) = Price(i) * (SSC(i)^2) + AMA(i-1)*(1-SSC(i)^2)
or (after rearrangement):
AMA(i) = AMA(i-1) + (SSC(i)^2) * (Price(i) - AMA(i-1))
Translated from Russian by MetaQuotes Software Corp.
Original code: https://www.mql5.com/ru/code/10
The Average Directional Movement Index by Wilder (ADX Wilder) helps to determine the presence of the price trend.Class CalcFrac - Number of bars before and after the current High / Low (calculated fractal)
Calculates fractals and lets you specify the number of bars separately before and after the current High / Low (fractal).