Conversion of Jurik Filter from mq4

• 01/04/2019 at 4:37 PM #88002
  rigel

  Hi Nicolas,

  Found this forum that is dedicated to Jurik tools https://www.forexfactory.com/showthread.php?t=696822 , it would be great if you could add to our arsenal those tools. For a start here the Jurik Filter

  

  rgds

  

  rigel

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  01/05/2019 at 11:47 PM #88051
  rigel

  Noticed that there is a newer version that solved some bug

   

  

  rigel

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  01/07/2019 at 8:32 AM #88081
  Nicolas

  These 2 versions of the Jurik moving average could help:

  //----------------------------// // JMA - Jurik Moving Average // //----------------------------// Period = 20 Period = MAX(Period, 1) // Pow = 5 ({ 1..10 }) // R = 1.5 ({0.5..2.5}) Pow = 4 R = 1 beta = 0.45 * (Period - 1) / (0.45 * (Period - 1) + 2) IF Pow = 1 THEN alpha = beta ELSIF Pow = 2 THEN alpha = beta * beta ELSIF Pow = 3 THEN alpha = beta * beta * beta ELSIF Pow = 4 THEN alpha = beta * beta * beta * beta ELSIF Pow = 5 THEN alpha = beta * beta * beta * beta * beta ELSIF Pow = 6 THEN alpha = beta * beta * beta * beta * beta * beta ELSIF Pow = 7 THEN alpha = beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 8 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 9 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 10 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ENDIF IF BarIndex = 0 THEN Filt0 = Series Filt1 = Series AFR = Series ELSE Filt0 = (1 - alpha) * Series + alpha * Filt0[1] Det0 = (Series - Filt0[0]) * (1 - beta) + beta * Det0[1] Filt1 = Filt0[0] + R * Det0[0] Det1 = (Filt1[0] - AFR[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFR = AFR[1] + Det1[0] ENDIF RETURN AFR

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  //----------------------------// // JMA - Jurik Moving Average // //----------------------------//   Period = 20   Period = MAX(Period, 1)   // Pow = 5 ({ 1..10 }) // R = 1.5 ({0.5..2.5}) Pow = 4 R = 1   beta = 0.45 * (Period - 1) / (0.45 * (Period - 1) + 2)   IF Pow = 1 THEN alpha = beta ELSIF Pow = 2 THEN alpha = beta * beta ELSIF Pow = 3 THEN alpha = beta * beta * beta ELSIF Pow = 4 THEN alpha = beta * beta * beta * beta ELSIF Pow = 5 THEN alpha = beta * beta * beta * beta * beta ELSIF Pow = 6 THEN alpha = beta * beta * beta * beta * beta * beta ELSIF Pow = 7 THEN alpha = beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 8 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 9 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 10 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ENDIF   IF BarIndex = 0 THEN Filt0 = Series Filt1 = Series AFR = Series ELSE Filt0 = (1 - alpha) * Series + alpha * Filt0[1] Det0 = (Series - Filt0[0]) * (1 - beta) + beta * Det0[1] Filt1 = Filt0[0] + R * Det0[0] Det1 = (Filt1[0] - AFR[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFR = AFR[1] + Det1[0] ENDIF   RETURN AFR

  //-----------------------------------------------------// // JMA - Jurik Moving Average (Responsiveness Version) // //-----------------------------------------------------// Period = 20 Period = MAX(Period, 1) // Pow = 5 ({ 1..10 }) // R = 1.5 ({0.5..2.5}) Pow = 5 R = 1 beta = 0.45 * (Period - 1) / (0.45 * (Period - 1) + 2) IF Pow = 1 THEN alpha = beta ELSIF Pow = 2 THEN alpha = beta * beta ELSIF Pow = 3 THEN alpha = beta * beta * beta ELSIF Pow = 4 THEN alpha = beta * beta * beta * beta ELSIF Pow = 5 THEN alpha = beta * beta * beta * beta * beta ELSIF Pow = 6 THEN alpha = beta * beta * beta * beta * beta * beta ELSIF Pow = 7 THEN alpha = beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 8 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 9 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 10 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ENDIF IF BarIndex = 0 THEN Filt0 = Series Filt1 = Series AFR = Series ELSE Filt0 = (1 - alpha) * Series + alpha * Filt0[1] Det0 = (Series - Filt0[0]) * (1 - beta) + beta * Det0[1] Filt1 = Filt0[0] + R * Det0[0] Det1 = (Filt1[0] - AFR[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFR = AFR[1] + Det1[0] ENDIF RETURN AFR

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  //-----------------------------------------------------// // JMA - Jurik Moving Average (Responsiveness Version) // //-----------------------------------------------------//   Period = 20   Period = MAX(Period, 1)   // Pow = 5 ({ 1..10 }) // R = 1.5 ({0.5..2.5}) Pow = 5 R = 1   beta = 0.45 * (Period - 1) / (0.45 * (Period - 1) + 2)   IF Pow = 1 THEN alpha = beta ELSIF Pow = 2 THEN alpha = beta * beta ELSIF Pow = 3 THEN alpha = beta * beta * beta ELSIF Pow = 4 THEN alpha = beta * beta * beta * beta ELSIF Pow = 5 THEN alpha = beta * beta * beta * beta * beta ELSIF Pow = 6 THEN alpha = beta * beta * beta * beta * beta * beta ELSIF Pow = 7 THEN alpha = beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 8 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 9 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ELSIF Pow = 10 THEN alpha = beta * beta * beta * beta * beta * beta * beta * beta * beta ENDIF   IF BarIndex = 0 THEN Filt0 = Series Filt1 = Series AFR = Series ELSE Filt0 = (1 - alpha) * Series + alpha * Filt0[1] Det0 = (Series - Filt0[0]) * (1 - beta) + beta * Det0[1] Filt1 = Filt0[0] + R * Det0[0] Det1 = (Filt1[0] - AFR[1]) * ((1 - alpha) * (1 - alpha)) + (alpha * alpha) * Det1[1] AFR = AFR[1] + Det1[0] ENDIF   RETURN AFR

  You can adjust the “Period”, “Pow” and “R” values directly into the code.

  

  Nicolas

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  01/07/2019 at 9:38 AM #88085
  Vonasi

  Should line 35 not have one more * Beta?

  Perhaps also using a loop would be better way to calculate alpha?

  

  Vonasi

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  01/07/2019 at 10:55 AM #88092
  Nicolas

  Vonasi wrote:

  Should line 35 not have one more * Beta?

  I think you are right, codes taken from this indi: Average Filter Regression

  Vonasi wrote:

  Perhaps also using a loop would be better way to calculate alpha?

  A more classy way for sure, but not sure about performance.

  

  Nicolas

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  01/07/2019 at 11:51 AM #88096
  Vonasi

  Nicolas wrote:

  A more classy way for sure, but not sure about performance.

  Yes loops are a much neater solution but they can make things a bit slow and I guess if the Pow only needs to be set to something between 1 and 10 then repetitive typing is the way to go.

  Maybe when I have more time I will do a comparison speed test!

  

  Vonasi

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  01/10/2019 at 11:08 PM #88345
  rigel

  Thanks Vonasi, Nicolas

  However I think that the .mq4 filter is not simply the Jurik moving average that you posted, the plot does not have the strai9ght flat sections showed in the chart.

  Am I missing something?

   

  rgds

  

  rigel

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  01/11/2019 at 10:57 AM #88374
  Nicolas

  The flat section you see is because this indicator is multiple timeframe and plot the superior timeframes values of that moving average.

  ProBuilder is not MTF compatible, but the code I gave you above is similar to the MT4 version on the same timeframe.

  

  Nicolas

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  01/11/2019 at 11:54 AM #88379
  rigel

  Thanks Nicolas, clear.

  

  rigel

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  01/22/2020 at 10:29 AM #117496
  Wolf

  Hi, Thank you Nicolas for this code.

  If you want use a calculation of power inside PRT code it is very simply and not necessary to use condition “If” heavy and longer.
  So you can remplace ligne 16 to 36 by just one line: So no limit of power and code very light.

  falpha = exp ( Pow * log(fbeta) )

  Explanation:

  A (power x) = exponential (x *natural logarithm (A))   [natural logarithm = “logarithme népérien” in French)

  It is only mathematical property, I have nothing invented. (LOL)

  

  Wolf

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  01/22/2020 at 10:36 AM #117497
  Nicolas

  Thank you @Wolf. We are used to use this Math Pow version also in some other codes! 🙂

  A new instruction for POW is in the pipe and should be added very soon in version 11.

  

  Nicolas

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  11/21/2020 at 2:14 AM #151111
  Patrick K Templar

  I get a syntax error the following variable is undefined series

  

  Patrick K Templar

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