VAMA - Volatility Adaptive Moving Average - Indicators

This VAMA indicator draws an average with a period of p. The value of p is changed depending upon recent market volatility.

You set a percentage and the indicator counts back how many bars are needed to find that the highest high minus the lowest low is greater or equal to the desired percentage of the current price. The value for p is the number of bars needed to find this range.

With this calculation when a market is not very volatile the value of p will be high and the average slower moving and in a volatile market the value of p will be low and the average faster moving.

You can change the average type drawn by changing the value of ‘type’ from 0 to 6.

0 = Simple
1 = Exponential
2 = Weighted
3 = Wilder
4 =Triangular
5 = End Point
6 = Time Series

Set ‘Percentage’ to whatever percentage of price you want to use to calculate the p value for the average.

You can turn on and off the display of the latest p value change.

Due to the loop the average can be quite slow to draw so I advise using the DEFPARAM CALCULATEONLASTBARS to reduce calculation time.

I advise downloading the ITF file and importing it to get full functionality.

//VAMA - Volatility Adaptive Moving Average
//By Vonasi
//20190910

defparam calculateonlastbars = 1000
//percentage = 15 // percentage price move to calculate p on.
//type = 1 //average type

type = max(0,min(type,6))

if barindex >= 1 then
 hh = close
 ll = close
 p = 0
 for a = 0 to barindex
  hh = max(hh,high[a])
  ll = min(ll,low[a])
  if (hh - ll)/close >= (percentage/100) then
   p = a+1
   break
  endif
 next

 if p > 0 then
  vama = average[p,type](customclose)
 endif
endif

if pDisplayed then
 if p <> p[1] then
  drawtext("#p#", barindex, vama ,SansSerif,Bold,10) COLOURED(0,0,0)
 endif
endif

return vama

//VAMA - Volatility Adaptive Moving Average

//By Vonasi

//20190910

defparam calculateonlastbars = 1000

//percentage = 15 // percentage price move to calculate p on.

//type = 1 //average type

type = max(0,min(type,6))

if barindex >= 1 then

hh = close

ll = close

p = 0

for a = 0 to barindex

hh = max(hh,high[a])

ll = min(ll,low[a])

if (hh - ll)/close >= (percentage/100) then

p = a+1

break

endif

if p > 0 then

vama = average[p,type](customclose)

endif

if pDisplayed then

if p <> p[1] then

drawtext("#p#", barindex, vama ,SansSerif,Bold,10) COLOURED(0,0,0)

endif

return vama

adaptive average Average filter moving average volatility

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?

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JMat45 • 09/11/2019 #
Thanks, Vonasi. Can this be adapted for a Hull moving average too? I’ve been looking for an ‘adaptive’ Hull for some time.

Vonasi • 09/11/2019 #
Sure that is possible. I will code it and make a post in the English ProBuilder forum and put a link here to that topic.

Vonasi • 09/11/2019 #
Vama v2 with Hull moving average included can be found here: https://www.prorealcode.com/topic/vama-with-hull-moving-average/

JMat45 • 09/11/2019 #
Thank you, Vonasi.

Jodal Bonjour Nicolas, Merci pour cet indicateur! Est-ce possible de configurer une alerte pou...

Nicolas Merci pour le post dans le forum en respectant les règles de publication énoncées dans le ca...

Dron De lo mejorcito

bearbull As per PhilipSchultz question above, has anybody managed to add code for when it turns blue,...

Ybr35 Bonjour Nicolas, lorsque je lance l'indicateur, il m'est indiqué que je dois définir les var...

Nicolas L'idéal est de télécharger le fichier itf joint sur cette page et de l'importer dans la plat...

fabio407 Thanks, Nicolas. Very useful. Would you tell me where to find what result conveys the functi...

Nicolas This is not an instruction of the programming language but a variable from this indicator (l...

fabio407 OK. I didn't notice it. Many thanks, Nicolas!

Wilko And not only readable.... makes it much easier to iterate different entry/exit-conditions, d...

IGOSNELL Hi Interesting strategy, when I used $ M-R Dif EURUSD M15 Long if does not enter any positi...

ilvillans HI, I modified the system, from good results but from this error: Replace the variables wit...

Nicolas Merci dans ce cas d'ouvrir un sujet dans le forum ProScreener svp.

Andrea Hi Nicolas, thx for your code. Please i need your help to understand this part of your code:...

Nicolas the MA200 is ascending since 20 periods.

Leo Hi Gabri, have you ever try this in a trading system?

gabri Leo, I used to crosscheck this indicator a long time ago. For the trading I was doing at tha...

Nolubok Bonjour Gabri, merci pour l'ensemble de vos publications, serait il possible d'avoir le scr...

Nicolas Restart your platform in order to be sure to use the last version, there was a version rollb...

bertrandpinoy bonjour voud pouvez m envoyer le code modifier par vous?

Nicolas Désolé , je ne comprends pas votre question.

Nicolas Rien, il faut l'appliquer sur la charte. Soit le mettre sur le graphique du prix, à l'aide d...

signorini Merci pour votre réponse. Je l'applique sur la charte, j'utilise la petite clé pour effacer ...

signorini Je vous remercie, Nicolas. C'est fixé. Très bon week-end.

David Somogyi Hello, This is merely a filter indicator for measuring high fractality, which helps to av...

bertrandpinoy bonjour ce code fonctionne toujours?

Nicolas Faites un backtest, vous aurez des réponses.

Krallenmann Hallo Nicolas, kannst du mir die Regeln für den Halftrend Indikator sagen? Aus dem Code kann...

davefransman Dear Nicolas, i want set a alert on the "HalfTrend "custom moving average" met Heikin Ashi w...

Nicolas Please post the question in a new forum topic, that would need custom coding I believe.

Sofitech Ce code n'est valable que sur la V10.3 ? sur le 10.2 il y a une erreur de syntaxe dans le fi...

Nicolas Oui en effet, c'est un indicateur "10.3" à cause uniquement de la mise en forme des courbes ...

Nicolas En effet, c'est le cas si on copie/colle le code. Ces 2 variables sont inscrites en externes...

Salocin Hello Nicolas, my french is not that well. It occurs an error which can not be solved by cop...

Nicolas Just download the ITF file and import it into your platform, follow these easy steps: https:...

Nicolas You'll need to preload bars to get the good calculations of you indicators. I did not test i...

David Nicolas I tried DEFPARAM Preloadbars = 5000 And still the same drawn output of entries/exit...

marcara Hi, Thank you very much for the Moving Average Daily indicator, I am using it as indicator i...

Nicolas Je l'ai converti depuis un code pinescript. De mémoire il s'agit bien d'une variation d'une ...

Captain_Walker @Nicolas, I've copied your code into PRT indicator panel to create it. When I attempt to sav...

Nicolas Download the itf file and import it.

Nicolas Please post any question on forums, thanks.

Lavallette Bonjour Nicolas. J'utilise la version 11 et moi aussi j'ai une ligne horizontale malgré l'a...

Nicolas il faut modifier la ligne 20 avec: if adaptive=1 and averagePeriod > 1 and barindex>(...

VAMA – Volatility Adaptive Moving Average

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