Indicators: FRASMA: Fractally Modified Simple Moving Average

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FRASMA: Fractally Modified Simple Moving Average:

This is a Simple Moving Average (contrary to Ehlers FRAMA that starts from an EMA), smoothed using findings from the fractal analysis of the on-going price changes.

Author: Jean-Philippe Poton

 

Thanks to the support team to have added a picture, it's clearer that way.

 

Can it be possible to write a MTF version of FRASMA indicator?

Dilip

 
dlppat:

Can it be possible to write a MTF version of FRASMA indicator?

Dilip

Yes, it can, I don't see any problem with having a straightforward MTF version in the sense of having a choice to select the time frame to be displayed on the active graph. Keep in mind though that this indicator is not lagging in the sense of a classic MA; it results from the mathematical modelisation of price variations as a Fractional Brownian Motion, and it therefore assumes that those price variations follow a certain pattern, allowing it to anticipate, in some measure, the future movements of prices (cf. my blog for further details on that).

It is also assumed by this model, that the price variations have some level of self-affinity, which means that affine equivalents (similar but randomly distorted features) are found, in a probabilistic sense, at different timescales. This sets a limitation to the value of a MTF analysis (in terms of crossing of MA from distinct timeframes), even though, at a pure strategical point of view, a trading action decided on the ground of a convergence of signals at multiple time frames still makes sense.

That being said, the crossing of MA from distinct timeframes may provide some information, but only relatively to the respective fractal dimensions (taken as an indication of the market being in a trend or in a reversal period), I shall look at this more in detail, once back from my holidays (in 3 weeks from now). It may also open some perspectives for a fractalised ichimoku...

 

thanx its usefull.

 

Thanks for these indicators. I have tried to code an expert advisor based on the fractal dimension.

 
jppoton:
dlppat:

Can it be possible to write a MTF version of FRASMA indicator?

Dilip

Yes, it can, I don't see any problem with having a straightforward MTF version in the sense of having a choice to select the time frame to be displayed on the active graph. Keep in mind though that this indicator is not lagging in the sense of a classic MA; it results from the mathematical modelisation of price variations as a Fractional Brownian Motion, and it therefore assumes that those price variations follow a certain pattern, allowing it to anticipate, in some measure, the future movements of prices (cf. my blog for further details on that).

It is also assumed by this model, that the price variations have some level of self-affinity, which means that affine equivalents (similar but randomly distorted features) are found, in a probabilistic sense, at different timescales. This sets a limitation to the value of a MTF analysis (in terms of crossing of MA from distinct timeframes), even though, at a pure strategical point of view, a trading action decided on the ground of a convergence of signals at multiple time frames still makes sense.

That being said, the crossing of MA from distinct timeframes may provide some information, but only relatively to the respective fractal dimensions (taken as an indication of the market being in a trend or in a reversal period), I shall look at this more in detail, once back from my holidays (in 3 weeks from now). It may also open some perspectives for a fractalised ichimoku...

as they say: if your chances being wrong on 1TF say 50/50 and 3 tfs (or 3 other separate analisysys) shows same direction - what are your chances of being wrong in this case...

 
funyoo:

Thanks for these indicators. I have tried to code an expert advisor based on the fractal dimension.


Thanks, I just had a cursory look at it for now, will look at it more seriously once back from holidays.

JP

 

Hi,

İs it possible to use your code as examplary and fractalise JMA or T3 moving average ?

 
serdarali:

Hi,

İs it possible to use your code as examplary and fractalise JMA or T3 moving average ?

Hi,

The logic behind the FRASMA can indeed be used to fractalise any MA, however, the problem to consider is to identify whether the logic behind a particular MA is "compatible" with what the fractal analysis is saying. As I explained on my blog, I chose to fractalise an SMA and not, as Ehlers did, an EMA, because the EMA is simply putting more weight on recent price variations, therefore accelerating the MA when a fractal analysis indicates that it should be slowed down (for high fractal dimensions).

I don't know the logic behind the JMA, I therefore cannot say whether it's interesting to fractalise it or not. The T3 is basically using the same logic as an EMA (being a combination of several EMAs), and here again, I believe this may be in conflict with what fractal analysis is telling us, so I would not recommend to fractalise a T3.

Cheers

 
funyoo:

Thanks for these indicators. I have tried to code an expert advisor based on the fractal dimension.


jppoton

I read your blog, and it convinced me that your use of Fractal dimension is better than Ehlers. Good work, and thanks for the excellent explanation.

On funyoo's site he states that there is a problem with the indicator. The EA he has made works pretty well on the strategy tester, but that's not much proof. Someone there suggested that 'fractal dimension.mq4' may be repainting. The indicator seems to change color one bar before it crosses the threshold, but not in all cases, as if it occasionally gets a peek into the future. Please comment on this.

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