Adaptive Laguerre Filter indicator script.
The Adaptive Laguerre Filter was originally developed and described by John Ehlers in his paper `Time Warp – Without Space Travel`.
Thanks to @apozdnyakov for the sorting solution.
.. chameleon 🎵
Uses Kaufmann's Efficiency Ratio to generate adaptive inputs for Ehler's MAMA/FAMA. Alphas from the Hilbert transform are then used in place for the KAMA calculation.
Original MAMA/FAMA by everget : link
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The correlation oscillator is a technical indicator that measure the linear relationship between the market closing price and a simple increasing line, the indicator is in a (-1,1) range and rise when price is up-trending and fall when price is down-trending. Another characteristic of the indicator is its inherent smoothing which provide a noise free...
This study is an experiment in adaptive filtering. The process in this study was inspired by KAMA and ZLEMA filtering techniques.
First, data is given an optional modification for lag reduction.
Then, an adaptive filter of your choice is calculated. There are 6 different adaptive filters to choose from in this study:
-Commodity Channel Index Adaptive Moving...
This is a deviation scaled moving average original designed by John Ehlers. It is a new adaptive moving average that has the ability to rapidly adapt to volatility in price movement with minimal lag. Because it is so smooth and adapts to the volatility of the market it is by far a really great tool for spotting trend changes
Hi, this script comes from the idea that Ricardo Santos' Minkovski Distance Function is transferred to the period as a factor.
Minkowski distance is used as a percentage factor with the help of Relative Strength Index function.
Minkowski Distance Function Script :
And thus an...
"There are various ways to detect trends with moving averages. The moving average is a rolling filter and uptrends are detected when either the price is above the moving average or when the moving average’s slope is positive.
Given that an SMA can be well approximated by a constant-α AMA, it makes a lot of sense to adopt the AMA as the principal representative of...
The Dynamically Adjustable Moving Average (AMA) is an adaptive moving average proposed by Jacinta Chan Phooi M’ng (1) originally provided to forecast Asian Tiger's futures markets. AMA adjust to market condition in order to avoid whipsaw trades as well as entering the trending market earlier. This moving average showed better results than classical...
MTF ready adaptive MA using Ehler's IQ IFM ( In Phase - Quadrature Instantaneous Frequency Measurement ).
Ehler's formula is a method of quantitatively measuring the length of a market cycle. In this case it is used to calculate the "optimal" adaptive EMA.
Theoretically the length generated by Ehler's formula could be used in many indicators and it's been placed...
"You don’t put sunscreen when there is no sun, you don’t use an umbrella when there is no rain, you don’t use a kite when there is no wind, so why would you use a trend following strategy when there is no trend ?"
This is how i start my 4th paper "A New Technical Indicator For Optimal Markets Detection" where i present two new technical indicators....