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Miha Kralj
2026-01-31 14:05:53 -08:00
parent 51e885a4a6
commit 5ed4b6c0fc
102 changed files with 2883 additions and 593 deletions
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lib/trends_IIR/frama/Frama.cs
+7 -6
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@@ -6,15 +6,16 @@ using System.Runtime.InteropServices;
namespace QuanTAlib;
/// <summary>
/// FRAMA: Ehlers Fractal Adaptive Moving Average
/// FRAMA: Fractal Adaptive Moving Average
/// </summary>
/// <remarks>
/// Classic Traders' Tips FRAMA:
/// - Ranges are computed from High/Low (not from source).
/// - Smoothed price is HL2.
/// - alpha = exp(-4.6 * (D - 1)), clamped to [0.01, 1].
/// - Period forced to even, >= 2.
/// Ehlers' adaptive MA using fractal dimension to compute smoothing factor.
/// Alpha derived from High/Low ranges; smoother in trends, reactive at reversals.
///
/// Calculation: <c>D = ln(N1+N2)-ln(N3) / ln(2); α = exp(-4.6×(D-1))</c>, clamped [0.01,1].
/// </remarks>
/// <seealso href="Frama.md">Detailed documentation</seealso>
/// <seealso href="frama.pine">Reference Pine Script implementation</seealso>
[SkipLocalsInit]
public sealed class Frama : ITValuePublisher, IDisposable
{