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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
58 lines
2.1 KiB
Plaintext
58 lines
2.1 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Ehlers Moving Average Difference with Hann (MADH)", "MADH", overlay = false)
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//@function Ehlers Moving Average Difference with Hann — dual Hann FIR filter
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// difference expressed as a percentage. Zero-crossing oscillator.
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//@param source Series to analyze (typically Close)
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//@param shortLength Short Hann FIR window length (>= 1)
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//@param dominantCycle Dominant cycle period (>= 2)
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//@returns MADH oscillator value (percentage, zero-centered, unbounded)
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//@reference Ehlers, J.F. (2021). "The MAD Indicator, Enhanced."
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// Technical Analysis of Stocks & Commodities, Nov 2021.
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//@optimized O(LongLength) per bar — FIR scan over two Hann-weighted windows
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madh(series float source, simple int shortLength, simple int dominantCycle) =>
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if shortLength < 1
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runtime.error("ShortLength must be at least 1")
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if dominantCycle < 2
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runtime.error("DominantCycle must be at least 2")
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int longLength = int(shortLength + dominantCycle / 2)
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// --- Short Hann FIR filter ---
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float filt1 = 0.0
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float coef1 = 0.0
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for k = 1 to shortLength
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float w = 1.0 - math.cos(2.0 * math.pi * k / (shortLength + 1))
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filt1 += w * nz(source[k - 1])
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coef1 += w
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if coef1 != 0.0
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filt1 := filt1 / coef1
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// --- Long Hann FIR filter ---
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float filt2 = 0.0
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float coef2 = 0.0
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for k = 1 to longLength
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float w = 1.0 - math.cos(2.0 * math.pi * k / (longLength + 1))
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filt2 += w * nz(source[k - 1])
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coef2 += w
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if coef2 != 0.0
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filt2 := filt2 / coef2
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// --- MADH = percentage difference ---
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float result = filt2 != 0.0 ? 100.0 * (filt1 / filt2 - 1.0) : 0.0
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result
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// ── Inputs ──
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int p_short = input.int(8, "Short Length", minval = 1)
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int p_cycle = input.int(27, "Dominant Cycle", minval = 2)
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float p_src = input.source(close, "Source")
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// ── Calculation ──
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float out = madh(p_src, p_short, p_cycle)
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// ── Plot ──
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plot(out, "MADH", color.yellow, 2)
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hline(0, "Zero", color.gray)
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