CodeBaseSections
Watch how to download trading robots for free
Find us on Twitter!
Join our fan page
Interesting script?
So post a link to it -
let others appraise it
You liked the script? Try it in the MetaTrader 5 terminal
to pocket
Indicators

Step VHF adaptive VMA - indicator for MetaTrader 5

Mladen Rakic | English Русский 中文 Deutsch 日本語 Português
Views:
6657
Rating:
(23)
Published:
2018.10.22 15:18
Updated:
2019.01.29 15:32
Download as ZIP, How to download code from MetaEditor
Need a robot or indicator based on this code? Order it on Freelance Go to Freelance

Theory:

VMA (Variable Moving Average) is often mistakenly confused with the VIDYA (Volatility Index Dynamic Average) which is not strange since Tushar Chande took part in developing both. But the VMA was preceding the VIDYA and should not be mistaken for it. The formula for original VMA calculation is the following:

VMA = (α * VI * Price) + ((1 – ( α * VI )) * VMA[1])

Where:

α = 2 / (N + 1)

VI = Users choice of a measure of volatility or trend strength.

N = User selected constant smoothing period.

About this version:

This version is, as it is obvious from its name, adding two options and some changes.

  • instead of using fixed user input for VI (the measure of volatility),and for which Tushar Chande was using Standard Deviation Ratio (SDR), it is using Adam Whites Vertical Horizontal Filter (VHF) and that way it makes it automatically adjust to current market volatility
  • it is adding an option to filter out some insignificant changes in slope direction by using step calculation (setting the step size to 0 produces original VHF adaptive VMA - without steps filtering)

VMA, as is, is a "good candidate" for this type of filtering since it tends to produce prolonged periods of nearly horizontal values when the volatility of the market is low, so, when the step filtering is applied to it, the small slope changes that are happening as a results of the semi EMA calculation are filtered out, and signals are becoming more usable.

Usage:

You can use the color change as signals. Some experimenting with step size (since this version is using step size based on pips that is entered as users input).


Averages composite trend Averages composite trend

Trend composed by a series of averages

Blau Ergodic TSI Blau Ergodic TSI

Ergodic TSI (True Strength Index) as described by William Blau

Standard deviation ratio Standard deviation ratio

Standard deviation ratio (SDR)

Standard deviation ratio adaptive EMA Standard deviation ratio adaptive EMA

Standard deviation ratio adaptive EMA