﻿ Indicator Pack 1 Indicators

# Indicator Pack 1 Indicators

All the Indicators listed in this topic are contained in both versions of this Indicator Pak1 extension.

Indicators:

Description:

Average Trend Channel

Simple moving average that utilizes the moving average of the highs and lows to determine a channel. When prices are above the channel high the moving average is only allowed to increase and vice-versa. This mechanism can be used to reduce whipsaws when price trades rapidly above/below a simple moving average.

Chaiken Money Flow

Chaikin Money Flow is a volume weighted average of Accumulation/Distribution over the specified period. The principle behind the Chaikin Money Flow, is when the close is nearer to the high the more accumulation has taken place. Conversely the nearer the close is to the low, the more distribution has taken place.

If the price action consistently closes above the bar's midpoint on increasing volume then the Chaikin Money Flow will be positive. Conversely, if the price action consistently closes below the bar's midpoint on increasing volume, then the Chaikin Money Flow will be a negative value.

Commodity Channel Index

The Commodity Channel Index (CCI) is an oscillator that measures price variation from the statistical average. Depending on the period 70 to 80 percent of CCI values will fall in the range of -100 to 100.

Dema

Double Exponential Moving Average is a lower lag moving average based on combining a singe and double exponential moving average. The formula for Dema = (2 * EMA(x,n) - EMA(EMA(x,n),n) .

The double exponential moving average was created by Patrick Mulloy and discussed in the January 1994 issue of Stocks and Commodities Magazine"

Dominant Cycle

"Estimated dominant cycle period of the market.  The dominant cycle is the cycle period that has the most influence on prices.  Based on Homodyne Discriminator algorithm described in "Rocket Science for Traders" by John Ehlers."

Algorithm:

1: Homodyne Discriminator Algorithm

2: Filter Bank Algorithm

Dominant Cycle Highest

Returns the highest high over the dominant cycle period. The dominant cycle period is calculated on the supplied time series (e.g Close)

Dominant Cycle Lowest

The lowest low of the dominant cycle period. The dominant cycle period is calculated on the supplied time series (e.g Close)

Dominant Cycle Phase

Provides the phase position from 0 to 360 degrees within the current dominant cycle period.  The phase can be negative due to wraparound effects from 360 to 0.  The phase can also be negative in a persistent downtrend.  Based on phase algorithm described in "Rocket Science for Traders" by John Ehlers."

The Sine of the dominant cycle phase + 45 degreees.  Combined with the Sinewave Indicator provides cycles turning points.

The lead sinewave crosses the sinewave indicator 1/16 of a cycle before the turning point of the cycle is reached.

Ehlers Nonlinear Ma

Weighted moving average where the weights are dynamically calculated on each bar. Bars where the distance is largest from n-Bars ago will have the greatest weights.

Ehlers Sinewave

The sine of the dominant cycle phase. Combined with the lead Sinewave indicator provides cycles turning points.

Ehlers Zero Lag Ema

Adaptive exponential moving average. The moving average adapts based on the distance between the moving average and the current price. Described in November 2010 issue of Technical Analysis of Stocks and Commodities Magazine.

FAMA

Following Adaptive Moving Average is complementary moving average to MAMA.  The moving average adapts half as fast as the MAMA moving average.  Ehlers suggests a basic system can be developed based on the crossovers of MAMA and FAMA.  Ehlers recommends values of 0.5 and 0.05 for FastLimit and SlowLimit arguments respectively.

Historic Volatility

Volatility measured as the standard deviation of close to close returns.  Can use the Square Root of the Sum of Variations multiplied by 100 as a percentage return.

Instantaneous Trendline

Moving average taken over the dominant cycle.  The moving average has the effect of removing the dominant cycle.  As the dominant cycle can vary at each bar the effect is an adaptive moving average.  The lag  is half of the calculated dominant cycle.

Instantaneous Trendline Alternate

A lower lag version of the Instantaneous Trendline moving average.  The standard Instantaneous Trendline has a lag of N/2 where N is the measured dominant cycle.  The lag of the alternate calculation is considerably less and is only 8 bars when the dominant cycle is 40.

"Kaufman's Adaptive Moving Average  is an adaptive moving average that uses the noise level of the market to determine the length of the trend required to calculate the average.  The more noise in the market, the slower the trend used to calculate the average."

Keltner Channel

Keltner channel is a technical analysis indicator showing a central moving average line plus channel lines at a distance above and below.

Klinger Oscillator Indicator

Klinger Oscillator Indicator is often known as the Klinger Volume Oscillator (KVO) was developed by Stephen Klinger.  This indicator is a volume and price based oscillator that measures both short and long period volume changes of an instrument.

Laguerre Moving Average

Adaptive moving average where low frequency (trend) parts of price are delayed much more than the high frequency components.  The moving average will rapidly follow prices changes but will flatten out during consolidation periods.

MAMA

Mother of Adaptive Moving Averages (MAMA) is an adaptive exponential moving average created by John Ehlers. The moving average adapts to the rate of change of the phase of the dominant cycle. Ehlers recommends values of 0.5 and 0.05 for FastLimit and SlowLimit arguments respectively.

Momentum

Momentum is the difference between current price and the price a specified number of bars ago.

Money Flow Index

Money Flow Index measures the flow of money into and out of a security over the specified Period. Its calculation is similar to that of the Relative Strength Index (RSI), but takes volume into account in its calculation. The indicator is calculated by accumulating positive and negative money flow values, then creating a ratio of the two values. The final ratio is then scaled to fall between 0 – 100.

On Balance Volume

On Balance Volume is a cumulative indicator that uses volume to gauge the strength of a market. If prices close up, the current bar's volume is added to OBV, and if prices close down, it is subtracted.

Percent R

Percent R ( %R) is a momentum indicator developed by Larry Williams. Like the Stochastic Oscillator, %R is used to gauge overbought and oversold levels, and ranges between 0 and 100.

Percent Rank

Calculates the percentile ranking of a value in a price series.

Percentile

Returns a price value estimate of the specified percentile level

Range

High minus Low of the current bar

Rate of Change

The Rate of Change (ROC) indicator provides a percentage that the security's price has changed over the specified period.

Simons Historic Volatility

Historic volatility measurement that incorporates the high, low, and gaps as well as close to close returns. Described in "The Dynamic Option Selection System" by Howard Simons."

TEMA

Triple Exponential Moving Average is a unique combination of simple exponential moving average, double exponential moving average and a triple exponential moving average.

Tema = (3*EMA 3*EMA(EMA)) + EMA(EMA(EMA))

The TEMA, or Triple Exponential Moving Average, was introduced by Patrick Mulloy in Technical Analysis of Stocks & Commodities Magazine, February 1994.

Trend Vigor

The strength of the trend as measured over the dominant cycle. Trend Vigor is defined as the momentum over the dominant cycle period divided by the amplitude of the dominant cycle.

Ehlers suggests trend trades should only be taken when the trend vigor is > +1 for longs and < -1 for shorts.

True Strength Indicator

True Strength as a chart Indicator is available in the Variables section of the Blox Editor.

True High

The maximum of the current high and the previous close.

True Low

The minimum of the current low and the previous close.

True Range

Equal to the “True High” minus the “True Low”

Weighted Moving Average

Linearly Weighted Moving Average (WMA).  The WMA applies more weight to recent data and less weight to older elements.

ZScore

ZScore is a statistical function that indicates the number of standard deviation an item is above or below the average.