Adaptive Moving Average, from the book 'Smarter Trading' by Perry J. Kaufman. A range from slow to fast for EMA period is selected based on 'Efficiency' (a signal to noise ratio, see jhlEfficiency). The resulting EMA factor is then squared, which will bias the long end of the range towards zero movement (a 30 slow period becomes 479.5 periods when the EMA factor is squared). For any given slow period n, the effective maximum period is (n + 1) squared / 2 - 1. Version 1.0.
Chande Momentum Oscillator. This should return the same values as the standard supplied version; its advantage being ~4-6K less memory consumption. It does not iterate (neither does the supplied) so is reasonable to use with CalculateOnBarClose == false. Version 1.0.
A signal to noise ratio. Returns the total delta for the period divided by the sum of each individual period's delta. Does not iterate, so can reasonably be used with CalculateOnBarClose == false. Might be known by other names, documented as 'Efficiency' in 'Smarter Trading' by Perry J. Kaufman. Version 1.0.
Linear Regression Slope. Should return the same values as the standard LinRegSlope. However, the standard version iterates on every update, making it especially inefficient for intrabar (tick) data. This version does not iterate on intrabar updates. Version 1.0.
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.
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.
July 13th, 2011 09:51 AM brevco I love ADX and this is an excellent visual representation of where there is strength or weakness in the trend. Thank yo