FRAMA Fractal Adaptive Moving Average with Standard Deviation Bands For ThinkOrSwim

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FRAMA Fractal Adaptive Moving Average with Standard Deviation Bands For ThinkOrSwim
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Mobius©: # FRAMA Fractal Adaptive Moving Average with Standard Deviation Bands
# Mobius
# Mobius on MyTrade
# V01.07.2013

input n = 16;
input price = HL2;
input SDmult = 3;
input DisplayBands = yes;

def n1;
def n2;
def n3;
def hh;
def ll;
def dimen;
def alpha;
def filt;

N3 = (Highest(high, N) - Lowest(low, N)) / N;
HH = high;
LL = low;

def count = fold i = 0 to (n/2)
            with p
            do if GetValue(HH, GetMaxValueOffset(hh, n/2), n) > HH
               then GetValue(HH, GetMaxValueOffset(hh, n/2), n)
            else if GetValue(LL, GetMinValueOffset(ll, n/2), n) < LL
                 then GetValue(LL, GetMinValueOffset(ll, n/2), n)
            else count[1];

N1 = (HH - LL) / (N/2);
def HH1 = high[n/2];
def LL1 = low[n/2];
def count2 = fold j = n/2 to n
             with q
             do if GetValue(HH1, GetMaxValueOffset(HH1, n/2), n) > HH1
                then GetValue(HH1, GetMaxValueOffset(HH1, n/2), n)
             else if GetValue(LL1, GetMinValueOffset(LL1, n/2), n) < LL1
                  then GetValue(LL1, GetMinValueOffset(LL1, n/2), n)
             else count[1];

N2 = (count - count2) / (N / 2);
dimen = if N1 > 0 and N2 > 0 and N3 > 0 then (Log(N1 + N2) - Log(N3)) / Log(2) else 0;
alpha = if Dimen == .7
        then .02
        else if Dimen == .05
        then .33
        else if Exp(-4.6*(Dimen - 1)) < .01
        then .01
        else if Exp(-4.6* (Dimen - 1)) > 1 then 1
        else 0;
Filt = alpha * Price + (1 - alpha) * Filt[1];

plot FRAMA = Inertia(filt, n);

def SD = StDev(close, n);

plot upper = FRAMA + (SDmult * SD);
plot lower = FRAMA - (SDmult * SD);
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