2005 Mar: The Secret Behind The Filter (MedianAdaptiveFilter.efs)

[eSignal_JasonK]

File Name: MedianAdaptiveFilter.efs

Description:
This formula is based on the March 2005 article, The Secret Behind The Filter - What's The Difference, by John F. Ehlers.

Formula Parameters:
Thickness: 2
Color: Red


Notes:
The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.

Download File:
MedianAdaptiveFilter.efs



EFS Code:

/*******************************
Provided By : eSignal (c) Copyright 2005
Description:  Median-Average Adaptive Filter - by John F. Ehlers

Version 1.0  1/7/2005

Notes:
March 2005 Issue - "The Secret Behind The Filter - What's The Difference?"

Formula Parameters:                 Defaults:
Thickness                           2
Color                               Red
*******************************/

function preMain() {
    setPriceStudy(true);
    setStudyTitle("Median-Average Adaptive Filter ");
    setCursorLabelName("MAAF", 0);
    
    setShowTitleParameters(false);
    
    // Study Parameters
    var sp1 = new FunctionParameter("nThick", FunctionParameter.NUMBER);
        sp1.setName("Thickness");
        sp1.setDefault(2);
    var sp2 = new FunctionParameter("cColor", FunctionParameter.COLOR);
        sp2.setName("Color");
        sp2.setDefault(Color.red);
}


var bEdit = true;
var Price = new Array(4);
var Smooth = new Array(39);
var nFilter = null;
var nFilter_1 = 0;
var Value2 = 0;
var Value2_1 = 0;
var nThreshold = 0.002

function main(nThick, cColor) {
    if (bEdit == true) {
        setDefaultBarThickness(nThick);
        setDefaultBarFgColor(cColor);
        bEdit = false;
    }
    
    var nState = getBarState();

    if (nState == BARSTATE_NEWBAR) {
        nFilter_1 = nFilter;
        Value2_1 = Value2;
        Price.pop()
        Price.unshift((high(0)+low(0))/2)
        Smooth.pop();
        Smooth.unshift(0);
    }
    Price[0] = (high(0)+low(0))/2;
    if (Price[3] == null) return;    
    
    Smooth[0] = (Price[0] + (2 * Price[1]) + (2 * Price[2]) + Price[3]) / 6;
    if (Smooth[38] == null) return;
    
    var Length = 39;
    var Value3 = .2;
    var alpha, Value1;
    while (Value3 > nThreshold) {
        alpha = 2 / (Length + 1);
        Value1 = Median(Length);
        Value2 = alpha*Smooth[0] + (1 - alpha)*Value2_1;
        if (Value1 != 0) Value3 = Math.abs(Value1 - Value2) / Value1;
        Length = Length - 2;
        if (Length <= 0) break;
    }

    if (Length < 3) Length = 3;
    alpha = 2 / (Length + 1);
    nFilter = (alpha*Smooth[0] + (1 - alpha)*nFilter_1);    

    return nFilter;
}

function Median(Length) {
    var aArray = new Array(Length);
    var nMedian = null;
    
    for (var i = 0; i < Length; i++) {
        aArray[i] = Smooth[i];
    }
    
    aArray = aArray.sort(compareNumbers);
    
    nMedian = aArray[Math.round((Length-1)/2)];
    return nMedian;
}

function compareNumbers(a, b) {
   return a - b
}