application of ehler filter.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    Application of Ehler filter
//  Author/Uploader: goldfreaz 
//  E-mail:          
//  Date/Time Added: 2004-01-05 12:58:20
//  Origin:          
//  Keywords:        Ehler, FIR
//  Level:           semi-advanced
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=320
//  Details URL:     http://www.amibroker.com/library/detail.php?id=320
//
//------------------------------------------------------------------------------
//
//  Ehler filter using volume, momentum, rate of momentum for weighting.
//
//------------------------------------------------------------------------------

// ehler filter based on acclerartion and speed
// x - input
// n - length of FIR
// w - exponential weight of passed acceleration and speed 
// f - weighting factor between acceleration and speed
function Ehler1( x, V, n, w,f)
{y=x;
// acceleration + speed
a = x-2*Ref(x,-1) + Ref(x,-2);
s = f*(x-Ref(x,-1));
q=AMA(V*(abs(a)+abs(s))/x,w);

for( i = n-1; i < BarCount; i++ )
 {
   sy=0;sw=0;  
 for (j=i-n+1; j<i+1; j++)
  {sy = sy + q[j]*x[j]; 
   sw = sw + q[j];
  }
 y[i]=sy/sw;
 }
return y;
}
w=Param("w",0.62,0.05,0.99,0.01);
n=Param("n",8,1,42,1);
f=Param("f",-0.3,-10,10,0.1);
f=10^f;
eh=Ehler1(C,V,n,w,f);
Plot( Close, "Price", colorBlack, styleCandle );
Plot( eh, "Ehler", colorBlack ); 
Plot( MA(C,n), "MA", colorBlue );