FractalAMA_MBK_v1

//+----------------------------------------------------------------------------------+
//| FractalAMA                                                                       |
//|                                                                                  |
//| Description:  Fractal Adaptive Moving Average - by John Ehlers                   |
//|               Version 1.1 7/17/2006                                              |
//|                                                                                  |
//| Heavily modified and reprogrammed by Matt Kennel (mbkennelfx@gmail.com)          |
//|                                                                                  |
//| Notes:                                                                           |
//|               October 2005 Issue - "FRAMA - Fractal Adaptive Moving Average"     |
//|               Length will be forced to be an even number.                        |
//|               Odd numbers will be bumped up to the                               |
//|               next even number.                                                  |
//| Formula Parameters:     Defaults:                                                |
//| RPeriod                 16                                                       |
//+----------------------------------------------------------------------------------+
#property  copyright "Copyright © 2005, MrPip "  // and mbkennel
#property  link      "http://www.metaquotes.net/"
//---- indicator settings
#property  indicator_chart_window
#property  indicator_buffers 2
#property indicator_color1 Red
#property indicator_color2 Blue
//---- buffers
double ExtMapBuffer1[];
double ExtMapBuffer2[];
//----
extern int RPeriod=16;
extern double multiplier=4.6;
extern double signal_multiplier=2.5;
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int init()
  {
//---- 1 additional buffers are used for counting.
   IndicatorBuffers(2);
//---- drawing settings
   SetIndexBuffer(0,ExtMapBuffer1);
   SetIndexStyle(0,DRAW_LINE,STYLE_SOLID,2);
   SetIndexShift(0,0);
   IndicatorDigits(MarketInfo(Symbol(),MODE_DIGITS));
   SetIndexBuffer(1,ExtMapBuffer2);
   SetIndexStyle(1,DRAW_LINE,STYLE_SOLID,2);
   SetIndexShift(1,0);
//---- initialization done
   return(0);
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int start()
  {
   int    i,k,counted_bars=IndicatorCounted();
//----
   if (Bars < RPeriod) return(0);
   Comment("Bars : ",Bars);
   int maxshift=Bars-RPeriod-1;
   int limit= maxshift - counted_bars;
   if (limit < 1) limit=1;
//----
   int N=MathFloor(RPeriod/2)*2;  // Force N to even number
   double frama=Close[maxshift];
   double signal=frama;
//----
   ExtMapBuffer1[maxshift]=Close[maxshift];
   ExtMapBuffer2[maxshift]=Close[maxshift];
     for(int shift=limit-1; shift>=0; shift--) 
     {
      double dimension_estimate=DEst(shift,N);
      double alpha=MathExp(-multiplier*(dimension_estimate-1.0));
      double alphas=MathExp(-signal_multiplier*(dimension_estimate-1.0));
//----
      if (alpha > 1.0) alpha=1.0;
      if (alpha < 0.01) alpha=0.01;
      if (alphas > 1.0) alphas=1.0;
      if (alphas < 0.01) alphas=0.01;
      frama=alpha* Close[shift] + (1.0-alpha)* ExtMapBuffer1[shift+1];
      signal=alphas * frama + (1.0 - alphas)* ExtMapBuffer2[shift+1];
      ExtMapBuffer1[shift]=frama;
      ExtMapBuffer2[shift]=signal;
     }
   return(0);
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
  double DEst(int shift, int n) 
  {
   double R1, R2, R3;
   int n2=n/2;
//----
   R3=Range(shift,n)/n;
   R1=Range(shift,n2)/n2;
   R2=Range(shift+n2,n2)/n2;
   return(  (MathLog(R1+R2)-MathLog(R3) )* 1.442695 );// log_2(e) = 1.442694
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
  double Range(int i, int k) 
  {
   return( High[Highest(NULL,0,MODE_HIGH,k,i)] - Low[Lowest(NULL,0,MODE_LOW,k,i)] );
  }
//+------------------------------------------------------------------+