ADX VHF Adaptive with floating levels

This expiremental version of the ADX trend indicator is using VHF filter (Vertical Horizontal filter) smoothed with ISSM function (Exponential Smoothing and Innovation State Space Model).

It has floating levels (and so median one too), which make it adaptive to market, relying on last higher highs and lower lows of the indicator. These levels seem to be sometimes a bit ‘out of sync’, but it is already the case in the original version.

Periods, smoothing, dynamic levels threshold can be modified in the settings.

This indicator was converted from a MT4 code version by a request in the Spanish forum.

//PRC_ADX VHF adaptive floatlvls | indicator
//25.05.2018
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge
//converted from MT4 code version

//period = 25             // ADXm period
//Smooth = 15             // Smoothing period for price filter
//minmaxPeriod = 25             // Period for floating zero
//upLevel = 90           // Upper level
//downLevel = 10           // Lower level

if barindex>period+minmaxPeriod then

noise = 0
vhf = 0
mmax   = Close[0]
mmin   = Close[0]
for k=0 to period-1 do
noise = noise+Abs(Close[k]-Close[k+1])
mmax = Max(Close[k],mmax)
mmin = Min(Close[k],mmin)
next
if (noise>0) then
vhf = (mmax-mmin)/noise
endif
tperiod  = period
fzPeriod = minmaxPeriod

if (vhf>0) then
tperiod  = -Log(vhf)*period
fzPeriod = round(Max(-Log(vhf)*minmaxPeriod,3))
endif
alpha   = 2.0/(tperiod+1.0)

//ISSM settings
Pi = 3.14159265358979323846264338327950288
a1 = Exp(-1.414*Pi/Smooth)
b1 = 2.0*a1*Cos(1.414*Pi/Smooth)
sc2 = b1
sc3 = -a1*a1
sc1 = 1.0 - sc2 - sc3
//Exponential Smoothing and Innovation State Space Model (ISSM)
tprice = High
workSsm01 = tprice
if barindex>1 then
workSsm11 = sc1*(workSsm01+workSsm01[1])/2.0 + sc2*workSsm11[1] + sc3*workSsm11[2]
else
workSsm11 = tprice
endif
hc = workSsm11
//Exponential Smoothing and Innovation State Space Model (ISSM)
tprice = Low
workSsm02 = tprice
if barindex>1 then
workSsm12 = sc1*(workSsm02+workSsm02[1])/2.0 + sc2*workSsm12[1] + sc3*workSsm12[2]
else
workSsm12 = tprice
endif
lc = workSsm12
//Exponential Smoothing and Innovation State Space Model (ISSM)
tprice = Close[1]
workSsm03 = tprice
if barindex>1 then
workSsm13 = sc1*(workSsm03+workSsm03[1])/2.0 + sc2*workSsm13[1] + sc3*workSsm13[2]
else
workSsm13 = tprice
endif
cp = workSsm13
//Exponential Smoothing and Innovation State Space Model (ISSM)
tprice = High[1]
workSsm04 = tprice
if barindex>1 then
workSsm14 = sc1*(workSsm04+workSsm04[1])/2.0 + sc2*workSsm14[1] + sc3*workSsm14[2]
else
workSsm14 = tprice
endif
hp = workSsm14
//Exponential Smoothing and Innovation State Space Model (ISSM)
tprice = Low[1]
workSsm05 = tprice
if barindex>1 then
workSsm15 = sc1*(workSsm05+workSsm05[1])/2.0 + sc2*workSsm15[1] + sc3*workSsm15[2]
else
workSsm15 = tprice
endif
lp = workSsm15
dh = Max(hc-hp,0)
dl = Max(lp-lc,0)

if(dh=dl) then
dh=0
dl=0
elsif(dh<dl) then
dh=0
elsif(dl<dh) then
dl=0
endif
      
ttr   = Max(hc,cp)-Min(lc,cp)
dhk  = 0
dlk  = 0
      
if(ttr<>0) then
dhk = 100.0*dh/ttr
dlk = 100.0*dl/ttr
endif

workzdh = workzdh[1] + alpha*(dhk-workzdh[1])
workzdl = workzdl[1] + alpha*(dlk-workzdl[1])
dDI     = workzdh - workzdl

div  = Abs(workzdh + workzdl)
temp = 0
if( div <> 0.0) then
temp = 100*dDI/div
endif

aADX   = aADX[1]+alpha*(temp-aADX[1])
//floating levels
//flLookBack      = MinMaxPeriod // Floating levels lookback period
flLevelUp       = upLevel // Floating levels up level %
flLevelDown     = downLevel // Floating levels down level %
maxi   = highest[fzperiod](aadx)
mini   = lowest[fzperiod](aadx)
rrange = maxi-mini
flu    = mini+flLevelUp*rrange/100.0
fld    = mini+flLevelDown*rrange/100.0
flm    = mini+0.5*rrange

//colors
r=244
g=164
b= 96
if aadx>flm then
r=30
g=144
b=255
endif

endif

return aadx coloured(r,g,b)style(line,3), flu coloured(100,100,100) style(dottedline),fld coloured(100,100,100) style(dottedline),flm coloured(100,100,100) style(dottedline)

100

101

102

103

104

105

106

107

108

109

110

111

112

113

114

115

116

117

118

119

120

121

122

123

124

125

126

127

128

129

130

131

132

133

134

135

136

137

138

139

140

141

142

143

//PRC_ADX VHF adaptive floatlvls | indicator

//25.05.2018

//Nicolas @ www.prorealcode.com

//Sharing ProRealTime knowledge

//converted from MT4 code version

//period = 25 // ADXm period

//Smooth = 15 // Smoothing period for price filter

//minmaxPeriod = 25 // Period for floating zero

//upLevel = 90 // Upper level

//downLevel = 10 // Lower level

if barindex>period+minmaxPeriod then

noise = 0

vhf = 0

mmax = Close[0]

mmin = Close[0]

for k=0 to period-1 do

noise = noise+Abs(Close[k]-Close[k+1])

mmax = Max(Close[k],mmax)

mmin = Min(Close[k],mmin)

if (noise>0) then

vhf = (mmax-mmin)/noise

endif

tperiod = period

fzPeriod = minmaxPeriod

if (vhf>0) then

tperiod = -Log(vhf)*period

fzPeriod = round(Max(-Log(vhf)*minmaxPeriod,3))

endif

alpha = 2.0/(tperiod+1.0)

//ISSM settings

Pi = 3.14159265358979323846264338327950288

a1 = Exp(-1.414*Pi/Smooth)

b1 = 2.0*a1*Cos(1.414*Pi/Smooth)

sc2 = b1

sc3 = -a1*a1

sc1 = 1.0 - sc2 - sc3

//Exponential Smoothing and Innovation State Space Model (ISSM)

tprice = High

workSsm01 = tprice

if barindex>1 then

workSsm11 = sc1*(workSsm01+workSsm01[1])/2.0 + sc2*workSsm11[1] + sc3*workSsm11[2]

else

workSsm11 = tprice

endif

hc = workSsm11

//Exponential Smoothing and Innovation State Space Model (ISSM)

tprice = Low

workSsm02 = tprice

if barindex>1 then

workSsm12 = sc1*(workSsm02+workSsm02[1])/2.0 + sc2*workSsm12[1] + sc3*workSsm12[2]

else

workSsm12 = tprice

endif

lc = workSsm12

//Exponential Smoothing and Innovation State Space Model (ISSM)

tprice = Close[1]

workSsm03 = tprice

if barindex>1 then

workSsm13 = sc1*(workSsm03+workSsm03[1])/2.0 + sc2*workSsm13[1] + sc3*workSsm13[2]

else

workSsm13 = tprice

endif

cp = workSsm13

//Exponential Smoothing and Innovation State Space Model (ISSM)

tprice = High[1]

workSsm04 = tprice

if barindex>1 then

workSsm14 = sc1*(workSsm04+workSsm04[1])/2.0 + sc2*workSsm14[1] + sc3*workSsm14[2]

else

workSsm14 = tprice

endif

hp = workSsm14

//Exponential Smoothing and Innovation State Space Model (ISSM)

tprice = Low[1]

workSsm05 = tprice

if barindex>1 then

workSsm15 = sc1*(workSsm05+workSsm05[1])/2.0 + sc2*workSsm15[1] + sc3*workSsm15[2]

else

workSsm15 = tprice

endif

lp = workSsm15

dh = Max(hc-hp,0)

dl = Max(lp-lc,0)

if(dh=dl) then

dh=0

dl=0

elsif(dh<dl) then

dh=0

elsif(dl<dh) then

dl=0

endif

ttr = Max(hc,cp)-Min(lc,cp)

dhk = 0

dlk = 0

if(ttr<>0) then

dhk = 100.0*dh/ttr

dlk = 100.0*dl/ttr

endif

workzdh = workzdh[1] + alpha*(dhk-workzdh[1])

workzdl = workzdl[1] + alpha*(dlk-workzdl[1])

dDI = workzdh - workzdl

div = Abs(workzdh + workzdl)

temp = 0

if( div <> 0.0) then

temp = 100*dDI/div

endif

aADX = aADX[1]+alpha*(temp-aADX[1])

//floating levels

//flLookBack = MinMaxPeriod // Floating levels lookback period

flLevelUp = upLevel // Floating levels up level %

flLevelDown = downLevel // Floating levels down level %

maxi = highest[fzperiod](aadx)

mini = lowest[fzperiod](aadx)

rrange = maxi-mini

flu = mini+flLevelUp*rrange/100.0

fld = mini+flLevelDown*rrange/100.0

flm = mini+0.5*rrange

//colors

r=244

g=164

b= 96

if aadx>flm then

r=30

g=144

b=255

endif

return aadx coloured(r,g,b)style(line,3), flu coloured(100,100,100) style(dottedline),fld coloured(100,100,100) style(dottedline),flm coloured(100,100,100) style(dottedline)

adaptive ADX floating levels ISSM VHF

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments :

Filename : download the ITF files

How to import ITF files into ProRealTime platform?

Find other exclusive trading pro-tools on

PRC is also on YouTube, subscribe to our channel for exclusive content and tutorials

jordan //---settings MAmode=0 Period=150 NumberOfMA=100 //---end of settings MA2=undefined ...

jordan dites moi si cela correspond à ce que vous cherchez

kats bonjour merci de ta reponse mais non ca fonctionne pas sympa quand même d'avoir essayé cdlt

FXtonio Bonjour Nicolas, merci pour cette merveille, je l'utilise en compl2ment du "magical buy sell...

xpe74 Bonjour Nicolas, quelle est la valeur de MA que l'on doit prendre en compte pour intégration...

Nicolas Il faut faire un CALL de l'indicateur et y placé en paramètre les valeurs des périodes souha...

woktrade Superbe !

Vonasi An updated version with a bug fix can be found here: https://www.prorealcode.com/topic/dis...

snucke hey Vonasi is it possible you can help me get this indicator to show how much a market mo...

JJ Tec Hola. Me gustaría contactar contigo para ver la estrategia..

nilsla1981 Has someone already tested in real ?

Lucas0000 Hola. estoy buscando un programador en proorder, para hacer un programa basado en el Q-trend...

Nicolas Change line 62 with: drawcandle(flup,fldn,flup,fldn) coloured(169,169,169,80) bordercolor(16...

DimKar Thank you very much from Greece sir , have a nice day ....!!!! Really i do not have words...

mit_ose Bonjour, J'ai d'excellents résultats avec cet indicateur simple et efficace; Merci beaucoup;

ottimo Thank you Nicolas, great indicator, N. 1

tikigai Merci Nicolas! First Happy new Year 2020. Very good indicator BUT (yes the french "oui, m...

Nicolas Whats prorealtime version? Did you try in version prior to v11? indicator's call and loop ca...

Nicolas Yes, that's how it goes when using loops..

JosephFelix Hi, Could I please have help with adding these indicators 'on price'? Every indicator that I...

Nicolas Just add it on price by clicking the wrench on the left upper side of the price chart.

Nicolas Apply it on the price chart. The indicator plot just one single line. There are two in the...

jamesoc Hi Nicolas, do you happen to know if there is an indicator that can be applied to charts, to...

gustavobp Buenos dias Nicolas, al agregar tu indicador no me reconoce la variable Price ni en la linea...

bharatjai Script 'Adaptive ATR' has been saved line 24: no viable alternative at input 'lr' Gettin...

Nicolas download the itf file and import it into your platform.

Francis3332 Bonjour à tous, J'aime beaucoup cet indicateur et j'aimerais pouvoir l'utiliser sur la dern...

Appsoluxions Hi Nicolas, do you have the MT4 version of the indicator? I am not sure if these kind of que...

Nicolas Hi, don't have one sorry. But you can still ask for private coding through our programming s...

Appsoluxions Cool. Thanks for the response.

Domenec Claro Juanjo de todas maneras en deinversoratrader.com tienes estsos osciladores evolucionad...

Dron Hola Domenec, en la descripción hablas del indicador velas de colores, no lo encuentro en la...

Domenec Hola Dron mira en el blog deinversoratrader.com en formacion indicadores ahi hay varios grat...

Share this

Likes