Summary:
This indicator adapts to price movement in a new and unique way based on the rate of change of phase as measured by the Hilbert Transform Discriminator. It features fast attack average and a slow decay average. In conjunction with FAMA the lines only cross at major market reversals.

Calculation:
MAMA = α * Price + ( 1 - α ) * MAMAPrevious
α = FastLimit / DeltaPhase

Developer:
John Ehlers

                    
#region Namespaces using System; #endregion namespace ScriptCode { /// <summary> /// Indicator scripts are used for calculating a series of numerical values. /// /// This script can be used in several ways: /// (1) It can be used on a chart. /// (2) It can be used from another script. /// (3) It can be used as a script column in a watchlist. /// </summary> public partial class MyIndicator : IndicatorScriptBase // NEVER CHANGE THE CLASS NAME { #region Variables // Use for the underlying indicator on which to calculate the indicator script. private Indicator _indicator; // Use for the upper limit of the alpha value. private double _fastLimit; // Use for the lower limit of the alpha value. private double _slowLimit; // Use for the detrender series. private const int DETRENDER = 0; // Use for the period series. private const int PERIOD = 1; // Use for the smooth series. private const int SMOOTH = 2; // Use for the i1 series. private const int I1 = 3; // Use for the i2 series. private const int I2 = 4; // Use for the im series. private const int IM = 5; // Use for the q1 series. private const int Q1 = 6; // Use for the q2 series. private const int Q2 = 7; // Use for the re series. private const int RE = 8; // Use for the phase series. private const int PHASE = 9; #endregion #region OnInitialize /// <summary> /// This function accepts the user parameters for the script and is called when a new indicator instance is created. /// One of the parameters accepted by it must be that of a symbol or another script that is /// based on a symbol (drawing, indicator, pattern or signal). This symbol will be used as the underlying symbol for the indicator. /// /// The parameter values can be specified from the user interface (UI) or from another script, depending on usage. /// </summary> /// -------------------------------------------------------------------------------------------------- /// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS /// -------------------------------------------------------------------------------------------------- /// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION. /// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION. /// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS. /// REQUIRED ATTRIBUTES: /// (1) name: The exact parameter name. /// (2) type: The type of data to collect from the user: /// Set to "Integer" when the data type is 'int' /// Set to "IntegerArray" when the data type is 'int[]' /// Set to "DateTime" when the data type is 'long' /// Set to "DateTimeArray" when the data type is 'long[]' /// Set to "Boolean" when the data type is 'bool' /// Set to "BooleanArray" when the data type is 'bool[]' /// Set to "Double" when the data type is 'double' /// Set to "DoubleArray" when the data type is 'double[]' /// Set to "String" when the data type is 'string' /// Set to "StringArray" when the data type is 'string[]' /// Set to "Indicator" when the data type is 'Indicator' /// Set to "Pattern" when the data type is 'Pattern' /// Set to "Signal" when the data type is 'Signal' /// Set to "Drawing" when the data type is 'Drawing' /// Set to "Symbol" when the data type is 'int' representing a symbol index. /// OPTIONAL ATTRIBUTES: /// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double, String or an API Type. /// (4) min: The minimum parameter value is only valid when the type is Integer or Double. /// (5) max: The maximum parameter value is only valid when the type is Integer or Double. /// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param> /// -------------------------------------------------------------------------------------------------- /// <param name="indicator" type="Indicator">Use for the underlying indicator on which to calculate the indicator script.</param> /// <param name="fastLimit" type="Double" default="0.5">Use for the upper limit of the alpha value.</param> /// <param name="slowLimit" type="Double" default="0.05">Use for the lower limit of the alpha value.</param> public void OnInitialize( Indicator indicator, double fastLimit, double slowLimit) { // Set the indicator. _indicator = indicator; // Set the fastLimit. _fastLimit = fastLimit; // Set the slowLimit. _slowLimit = slowLimit; // Create the internal series required for the MAMA calculation. IndicatorCreateSeries(10); } #endregion #region OnBarUpdate /// <summary> /// This function is used for calculating the indicator value for the latest bar (see the Indicator functions). /// </summary> /// <returns>The indicator value for the latest bar.</returns> public override double OnBarUpdate() { // Retrieve number of databars proccessed thus far. int CurrentBar = IndicatorValueCount(); // Sets initial 6 bar values and prevents calling out of bounds required values by smooth and detrender. if (CurrentBar < 6) return BarClose(SymbolIndex()); else if (CurrentBar == 6) return _indicator[0]; // Set Smooth IndicatorSetSeriesValue(SMOOTH, 0, ((4 * _indicator[0] + 3 * _indicator[1] + 2 * _indicator[2] + _indicator[3]) / 10)); // Set Detrender IndicatorSetSeriesValue(DETRENDER, 0, ((0.0962 * IndicatorGetSeriesValue(SMOOTH, 0) + 0.5769 * IndicatorGetSeriesValue(SMOOTH, 2) - 0.5769 * IndicatorGetSeriesValue(SMOOTH, 4) - 0.0962 * IndicatorGetSeriesValue(SMOOTH, 6)) * (0.075 * IndicatorGetSeriesValue(PERIOD, 1) + 0.54))); // Compute InPhase and Quadrature Components IndicatorSetSeriesValue(Q1, 0, (0.0962 * IndicatorGetSeriesValue(DETRENDER, 0) + 0.5769 * IndicatorGetSeriesValue(DETRENDER, 2) - 0.5769 * IndicatorGetSeriesValue(DETRENDER, 4) - 0.0962 * IndicatorGetSeriesValue(DETRENDER, 6)) * (0.075 * IndicatorGetSeriesValue(PERIOD, 1) + 0.54)); IndicatorSetSeriesValue(I1, 0, IndicatorGetSeriesValue(DETRENDER, 3)); // Advance phase of I1 and Q1 by 90 double jI = (0.0962 * IndicatorGetSeriesValue(I1, 0) + 0.5769 * IndicatorGetSeriesValue(I1, 2) - 0.5769 * IndicatorGetSeriesValue(I1, 4) - 0.0962 * IndicatorGetSeriesValue(I1, 6)) * (0.075 * IndicatorGetSeriesValue(PERIOD, 1) + 0.54); double jQ = (0.0962 * IndicatorGetSeriesValue(Q1, 0) + 0.5769 * IndicatorGetSeriesValue(Q1, 2) - 0.5769 * IndicatorGetSeriesValue(Q1, 4) - 0.0962 * IndicatorGetSeriesValue(Q1, 6)) * (0.075 * IndicatorGetSeriesValue(PERIOD, 1) + 0.54); // Phasor addition for 3 bar averaging IndicatorSetSeriesValue(I2, 0, (IndicatorGetSeriesValue(I1, 0) - jQ)); IndicatorSetSeriesValue(Q2, 0, (IndicatorGetSeriesValue(Q1, 0) + jI)); // Smooth the I and Q components before applying the discriminator IndicatorSetSeriesValue(I2, 0, (0.2 * IndicatorGetSeriesValue(I2, 0) + 0.8 * IndicatorGetSeriesValue(I2, 1))); IndicatorSetSeriesValue(Q2, 0, (0.2 * IndicatorGetSeriesValue(Q2, 0) + 0.8 * IndicatorGetSeriesValue(Q2, 1))); // Hilbert Transform Homodyne Discriminator IndicatorSetSeriesValue(RE, 0, (IndicatorGetSeriesValue(I2, 0) * IndicatorGetSeriesValue(I2, 1) + IndicatorGetSeriesValue(Q2, 0) * IndicatorGetSeriesValue(Q2, 1))); IndicatorSetSeriesValue(IM, 0, (IndicatorGetSeriesValue(I2, 0) * IndicatorGetSeriesValue(Q2, 1) - IndicatorGetSeriesValue(Q2, 0) * IndicatorGetSeriesValue(I2, 1))); IndicatorSetSeriesValue(RE, 0, (0.2 * IndicatorGetSeriesValue(RE, 0) + 0.8 * IndicatorGetSeriesValue(RE, 1))); IndicatorSetSeriesValue(IM, 0, (0.2 * IndicatorGetSeriesValue(IM, 0) + 0.8 * IndicatorGetSeriesValue(IM, 1))); // Compute Cycle Period if (IndicatorGetSeriesValue(IM, 0) != 0.0 && IndicatorGetSeriesValue(RE, 0) != 0.0) IndicatorSetSeriesValue(PERIOD, 0, (360 / ((180 / Math.PI) * Math.Atan(IndicatorGetSeriesValue(IM, 0) / IndicatorGetSeriesValue(RE, 0))))); if (IndicatorGetSeriesValue(PERIOD, 0) > 1.5 * (IndicatorGetSeriesValue(PERIOD, 1))) IndicatorSetSeriesValue(PERIOD, 0, (1.5 * IndicatorGetSeriesValue(PERIOD, 1))); if (IndicatorGetSeriesValue(PERIOD, 0) < 0.67 * (IndicatorGetSeriesValue(PERIOD, 1))) IndicatorSetSeriesValue(PERIOD, 0, (0.67 * IndicatorGetSeriesValue(PERIOD, 1))); if (IndicatorGetSeriesValue(PERIOD, 0) < 6) IndicatorSetSeriesValue(PERIOD, 0, 6); if (IndicatorGetSeriesValue(PERIOD, 0) > 50) IndicatorSetSeriesValue(PERIOD, 0, 50); IndicatorSetSeriesValue(PERIOD, 0, (0.2 * IndicatorGetSeriesValue(PERIOD, 0) + 0.8 * IndicatorGetSeriesValue(PERIOD, 1))); // Calculate phase value if (IndicatorGetSeriesValue(I1, 0) != 0.0) IndicatorSetSeriesValue(PHASE, 0, ((180 / Math.PI) * Math.Atan(IndicatorGetSeriesValue(Q1, 0) / IndicatorGetSeriesValue(I1, 0)))); // Delta phase calculates rate of change of the homodyne discriminator double deltaPhase = IndicatorGetSeriesValue(PHASE, 1) - IndicatorGetSeriesValue(PHASE, 0); if (deltaPhase < 1) deltaPhase = 1; // Calculate alpha for the current bar within range of the given limits double alpha = _fastLimit / deltaPhase; if (alpha < _slowLimit) alpha = _slowLimit; // Calculate the MAMA return (alpha * _indicator[0] + (1 - alpha) * this[0]); } #endregion #region OnChartSetup /// <summary> /// This function is used for setting up the indicator on the chart and registering its pens (see the IndicatorRegisterPen function). /// </summary> public override void OnChartSetup() { // Register a pen. IndicatorRegisterPen(0, "Pen", IQ_Color.ROYAL_BLUE, IQ_DashStyle.SOLID, 2); } #endregion #region OnSelectPen /// <summary> /// This function is used for selecting a registered indicator pen with which to color the latest indicator value. /// Call the IndicatorRegisterPen function from the OnChartSetup function in order to register an indicator pen. /// </summary> /// <returns>The indicator pen index to use for coloring the latest indicator value.</returns> public override byte OnSelectPen() { // Color the indicator value with the zero pen. return 0; } #endregion } }

The Automated Trading Software for Hedge Funds and Quants