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jhlMcGinleyDynamic
I came across "McGinley Dynamic" in a thread on this forum. On further investigation I found two entirely different formulas referred to by that name. This indicator implements a variation based on the following formula:
v[0] = v[1] + (Close[0] - v[1]) / (.618 * n * (Close[0] / v[1]) ^ 4)

Now that I can see the result, it doesn't appear to me to be any more useful as an average than an EMA of the same period. However I think it may make a good trigger line vs an EMA of the same period.


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September 7th, 2010
Size: 2.12 KB
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jhlMedian
Another implementation of Moving Median

Version 1


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February 15th, 2011
Size: 5.23 KB
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jhlMIN 5 *
Minimum value seen in period. Should return the same values as the standard MIN, which as of b18 has been fixed to reduce iteration. With that fixed the only advantage this has over the standard is memory reduction when used as a component and not displayed. (Both versions are now efficient with CalculateOnBarClose == false.)

Version 2 - Corrected calculation errors when COBC == false && Input != Low


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July 4th, 2010
Size: 2.32 KB
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jhlMMA
Wikipedia calls this a 'Modified Moving Average'. Traders may know it as Welles Wilder's Moving Average, as it is the averaging method used in many of his indicators.

It's conceptually simpler than an EMA, the basic formula being:
average = (newValue + priorAverage * (n - 1)) / n

However, for any number of periods 'n', the outcome is identical to EMA(2 * n - 1). Since my basic indicators are all about efficient code reuse that is the implementation used here. Using the EMA formula is also slightly more CPU efficient than the formula above.

Version 1.0.


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July 3rd, 2010
Size: 4.23 KB
Downloaded: 189 times

Keywords: average fluxsmith moving modified
jhlPearsonCorr
Returns the Pearson product-moment correlation coefficient of the input series. This requires iteration, so should probably be used with CalculateOnBarClose == true.

Version 2 - Solves a /0 error, returns 0 if price is unchanged for all of the bars in the calculation.


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July 4th, 2010
Size: 2.52 KB
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jhlPFE
Polarized Fractal Efficiency. This does not return similar values to the NT supplied PFE, which does not implement the formulas I've found by this name. My indicator's waveform is similar enough to thinkorswim's to conclude that I have implemented the algorithm represented correctly. This indicator does not iterate. Version 1.0.


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July 9th, 2010
Size: 6.47 KB
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Keywords: efficiency fluxsmith polarized fractal
jhlRVI 5 *
Relative Vigor Index, from John Ehlers, in Technical Analysis of Stocks & Commodities, January 2002. Signal is crossing of trigger line. Length should be the dominant cycle length.
Version 1.0

(BTW - This is a completely different indicator than NT's 'RVI')


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August 12th, 2010
Size: 4.62 KB
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jhlSMA
Should return the same values as the standard SMA. Illustrates compositing by building from jhlSum. Version 1.0.


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July 3rd, 2010
Size: 4.00 KB
Downloaded: 176 times

Keywords: fluxsmith sma
jhlSpearman
Spearman Rank Correlation, without tie correction.

Version 1


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February 15th, 2011
Size: 3.11 KB
Downloaded: 194 times
jhlSpearmanTC 5 *
Spearman Rank Correlation, with tie correction

Version 2:
Corrected tie correction algorithm

Note: It would be great if a math or statistics expert could verify this, I'm neither.


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February 16th, 2011
Size: 3.19 KB
Downloaded: 304 times
 

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