Date/Time: Tue, 23 Jan 2018 04:23:40 +0000
Post From: Offering To The Community: Adaptive ERI Moving Average With Filters
|bjohnson777 (Brett Johnson) - Posts: 204|
I've been programming some indicators from my base tool kit and am offering them to the community. I request they be added into the main SC distro once checked over.
From the "Display Study Documentation" button:
Adaptive ERI Moving Average With Filters. Perry Kaufman came up with ERI which measures the ratio of the direct distance divided by the total distance traveled of the period. He uses it as the Scaling Factor in an EMA equation to create an Adaptive Moving Average (AMA). Since the Scaling Factor didn't slow down enough, he squared it to produce smaller numbers. The fast and slow limits he uses don't do much, so they are usually left out of other AMA's. This version includes an option to change the ERI period directly.
The "Set Price Smoothing?" option enables cleaning up the price before calculations. If price is really noisy (too noisy for a volatility equation), recommended settings are EMA 3-10. Otherwise leave price smoothing off. The "Normal Output Smoothing Period" option enables cleaning up some of the ERI noise before AERI is calculated. It is recommended to smooth ERI out with an EMA 3-7. This allows for less volatility and more consistent movements. The "Set Extra Output Smoothing?" allows for double smoothing for cleaner results.
The "AERI Scale Factor Change" option allows the output line to be sped up or slowed down by modifying the EMA Scale Factor variable in the final adaptive calculation. It is recommended to change the main period variable first and then modify this one for fine tuning. A value of 1.0 (100%) will leave the rate unchanged. A value of 2.0 (200%) will double the rate. A value of 0.5 (50%) will cut the rate in half.
To use traditional AERI without any enhancements, turn off all extra options.
To visualize what the Scaling Factor is doing, a separate ERI graph can be added with the selected smoothing values. When ERI is close to 0, the AERI line will go flat and move less. Further away from 0 will increase the line movement.
Minor update 2016-10-15. No major function changes.
Regular compiles moved to "Brett Johnson's Standard Tool Kit" DLL.
Date Time Of Last Edit: 2016-10-15 06:25:29
AdaptiveERI_MA.cpp - Attached On 2016-10-15 06:24:56 UTC - Size: 10.5 KB - 28 views
AdaptiveERI_MA.dll - Attached On 2016-10-15 06:25:03 UTC - Size: 80 KB - 25 views