distance coefficient ehlers 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:    Distance Coefficient Ehlers Filter
//  Author/Uploader: Chris Yeoh 
//  E-mail:          [e-mail]
//  Date/Time Added: 2004-11-14 23:50:02
//  Origin:          TASC April 2001
//  Keywords:        
//  Level:           medium
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=402
//  Details URL:     http://www.amibroker.com/library/detail.php?id=402
//
//------------------------------------------------------------------------------
//
//  Taken from the article in TASC's April 2001 Issue.
//
//------------------------------------------------------------------------------

Price = (H+L)/2;
CoefLookback = 5;

Coef = (Price-Ref(Price, -1))^2+(Price-Ref(Price, -2))^2+(Price-Ref(Price, -3))^2+(Price-Ref(Price, -4))^2+(Price-Ref(Price, -5))^2;

SumCoef=0;
SumCoefPrice=0;
for(i=0; i < CoefLookback; i++) {
	SumCoef = SumCoef + Ref(Coef, -i);
	SumCoefPrice = SumCoefPrice + (Ref(Coef, -i) * Ref(Price, -i));
}
DCEF = SumCoefPrice / SumCoef;

Plot(Close, "Close", colorBlack, styleLine);
Plot(DCEF, "NonLinear Ehlers Filter", IIf(Close>DCEF, colorGreen, colorRed), styleLine);