# Copyright 2006, 2007, 2009, 2010, 2011 Kevin Ryde # This file is part of Chart. # # Chart is free software; you can redistribute it and/or modify it under the # terms of the GNU General Public License as published by the Free Software # Foundation; either version 3, or (at your option) any later version. # # Chart is distributed in the hope that it will be useful, but WITHOUT ANY # WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS # FOR A PARTICULAR PURPOSE. See the GNU General Public License for more # details. # # You should have received a copy of the GNU General Public License along # with Chart. If not, see . package App::Chart::Series::Derived::FRAMA; use 5.010; use strict; use warnings; use Carp; use List::Util qw(min max); use Locale::TextDomain ('App-Chart'); use base 'App::Chart::Series::Indicator'; use App::Chart::Series::Calculation; use App::Chart::Series::Derived::KAMA; use App::Chart::Series::Derived::FRAMAalpha; # http://www.mesasoftware.com/technicalpapers.htm # http://www.mesasoftware.com/Papers/FRAMA.pdf # John Ehler's paper on FRAMA. # # http://www.traders.com/Documentation/FEEDbk_docs/Archive/102005/TradersTips/TradersTips.html # Traders Tips October 2005. # # http://trader.online.pl/MSZ/e-w-Moving_Average_Fractal_Adaptive_(FAMA).html # # http://www.tradingsolutions.com/download/tip0510.zip # Formulas. # sub longname { __('FRAMA - Fractal Adaptive MA') } sub shortname { __('FRAMA') } sub manual { __p('manual-node','Fractal Adaptive Moving Average') } use constant { type => 'average', parameter_info => App::Chart::Series::Derived::FRAMAalpha::parameter_info(), }; sub new { my ($class, $parent, $N) = @_; $N //= parameter_info()->[0]->{'default'}; return $class->SUPER::new (parent => $parent, parameters => [ $N ], arrays => { values => [] }, array_aliases => { }); } sub warmup_count { my ($self_or_class, $N) = @_; # extreme worst case guess, ends up about $N+687 return $N + App::Chart::Series::Derived::EMA->warmup_count (App::Chart::Series::Derived::EMA::alpha_to_N(0.01)); } ### FRAMA warmup_count(): __PACKAGE__->warmup_count(0) sub warmup_count_for_position { my ($self, $lo) = @_; my $parent = $self->{'parent'}; my $p = $parent->values_array; my $ph = $parent->array('highs') || $p; my $pl = $parent->array('lows') || $p; my $p_lo = $lo + 1; # initial fill my $chunk = 16; my $alpha_proc = App::Chart::Series::Derived::FRAMAalpha->proc(@{$self->{'parameters'}}); my $alpha_warmup = App::Chart::Series::Derived::FRAMAalpha->warmup_count(@{$self->{'parameters'}}); my $tail = 1; my $i = $lo; for ( ; $i >= 0; $i--) { if ($i < $p_lo) { my $new_p_lo = min ($i, $p_lo - $chunk); $chunk *= 2; $parent->fill ($new_p_lo, $i); $p_lo = $new_p_lo; } my $value = $p->[$i] // next; $alpha_proc->($ph->[$i], $pl->[$i], $value) // next; last if --$alpha_warmup <= 0; } for ( ; $i >= 0; $i--) { if ($i < $p_lo) { my $new_p_lo = min ($i, $p_lo - $chunk); $chunk *= 2; $parent->fill ($new_p_lo, $i); $p_lo = $new_p_lo; } my $value = $p->[$i] // next; my $alpha = $alpha_proc->($ph->[$i], $pl->[$i], $value) // next; $tail *= (1 - $alpha); if ($tail <= App::Chart::Series::Derived::EMA::WARMUP_OMITTED_FRACTION) { last; } } ### FRAMA warmup_count_for_position(): "for $lo is ".($lo-$i) return $lo - $i; } sub proc { my ($class, $N) = @_; my $alpha_proc = App::Chart::Series::Derived::FRAMAalpha->proc($N); my $ama_proc = App::Chart::Series::Derived::KAMA->adaptive_ema_proc(); return sub { my ($high, $low, $close) = @_; my $alpha = $alpha_proc->(@_) // return undef; # ENHANCE-ME: pending configurable selection for this sort of thing ... # operate on John Ehlers preferred midpoint ... # my $value = (($high // $close) + ($low // $close)) / 2; return $ama_proc->($alpha, $close); }; } *fill_part = \&App::Chart::Series::Derived::WilliamsR::fill_part; # HLC 1; __END__ # =head1 NAME # # App::Chart::Series::Derived::FRAMA -- fractal adaptive moving average # # =head1 SYNOPSIS # # my $series = $parent->FRAMA($N); # # =head1 DESCRIPTION # # ... # # =head1 SEE ALSO # # L, L # # =cut