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Rating:

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Published:

2018.07.09 13:44

Updated:

2018.09.26 09:39

AML.mq5 (11.78 KB) view

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Indicator AML (Adaptive Market Level) displays one of three market states: Flat, uptrend, and downtrend.

It is based on fractal smoothing and has a discrete filter that removes small price movements: If the price movement amplitude does not exceed the square of the predefined amplitude within the specified range, then this price movement will be ignored and considered a flat one.

It has two parameters:

Period - calculation period;
Dimension - price movement amplitude in points.

Calculation:

If ABS(FR - FR(Dimension)) < LAG:

AML = PrevAML

otherwise:

AML = FR

where:

LAG = Dimension * Dimension * Point
FR = Alpha * Price + (1.0 - Alpha) * PrevFR
Price = (High + Low + 2.0 * Open + 2.0 * Close) / 6.0

Alpha = EXP(-1.0 * Dimension * (DIM - 1.0)) in the range from 0.01 to 1.0

If R1+R2 > 0 and R3 > 0:

DIM = 1.44269504088896 * (LOG(R1+R2) - LOG(R3))

Otherwise:

DIM = 0

R1 - (Maximum price - Minimum price within thе Period from the current price) / Period
R2 - (Maximum price - Minimum price within the Period from i+Period) / Period
R3 - (Maximum price - Minimum price within the Period * 2) / Period * 2

Translated from Russian by MetaQuotes Ltd.
Original code: https://www.mql5.com/ru/code/21103

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