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2011.07.13 17:38
Indicators

Composite High/Low Momentum Blau_HLM - indicator for MetaTrader 5

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blau_hlm.mq5 (6.44 KB)view
\MQL5\Include\

Author: Andrey N. Bolkonsky

The Composite High-Low Momentum is described by William Blau in the book "Momentum, Direction, and Divergence: Applying the Latest Momentum Indicators for Technical Analysis".

  • WilliamBlau.mqh must be placed in terminal_data_folder\MQL5\Include\
  • Blau_HLM.mq5 must be placed in terminal_data_folder\MQL5\Indicators\

Composite High-Low Momentum Indicator by William Blau

Composite High-Low Momentum Indicator by William Blau

Calculation:

The Composite High/Low Momentum is calculated as follows:

HLM(q) = HMU(q) - LMD(q)

where:

  • q - number of bars, used in calculation of Up Trend Momentum and Down Trend Momentum;
  • HMU(q) - Up Trend Momentum (q bars);
  • LMD(q) - Down Trend Momentum (q bars).

The smoothed Composite High/Low Momentum is calculated as follows:

HLM(q,r,s,u) = EMA(EMA(EMA( HLM(q) ,r),s),u) = EMA(EMA(EMA( HMU(q)-HMD(q) ,r),s),u)

where:

  • q - number of bars, used in the calculation of Up Trend Momentum and Down Trend Momentum;
  • HMU(q) - Up Trend Momentum (q bars);
  • LMD(q) - Down Trend Momentum (q bars);
  • HLM(q)=HMU(q)-LMD(q) - Composite High/Low Momentum;
  • EMA(HLM(q),r) - 1st smoothing - EMA(r), applied to the Composite High/Low Momentum;
  • EMA(EMA(...,r),s) - 2nd smoothing - EMA(s), applied to result of the 1st smoothing;
  • EMA(EMA(EMA(...,r),s),u) - 3rd smoothing - EMA(u), applied to result of the 2nd smoothing.
Input parameters:
  • q - number of bars, used in calculation of HLM (by default q=2);
  • r - period of the 1st EMA, applied to HLM (by default r=20);
  • s - period of the 2nd EMA, applied to result of the 1st smoothing (by default s=5);
  • u - period of the 3rd EMA, applied to result of the 2nd smoothing (by default u=3).
Note:
  • q>0;
  • r>0, s>0, u>0. If r, s or u are equal to 1, smoothing is not used;
  • Min. rates = (q-1+r+s+u-3+1).

Translated from Russian by MetaQuotes Software Corp.
Original code: https://www.mql5.com/ru/code/382

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