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)

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//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.

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