mql5/Indicators/MyIndicators/ALMA_MTF_Pro.md

Arnaud Legoux Moving Average (ALMA) MTF Pro

1. Summary (Introduction)

The ALMA_MTF_Pro is a multi-timeframe (MTF) version of the Arnaud Legoux Moving Average. This indicator calculates the ALMA on a higher, user-selected timeframe and projects its high-fidelity, low-lag trendline onto the current, lower-timeframe chart.

This allows traders to visualize the underlying trend from a broader perspective. The higher-timeframe ALMA acts as a superior dynamic benchmark for support, resistance, and overall market direction, leveraging the Gaussian filter's ability to reduce lag while maintaining smoothness.

The indicator is highly versatile: if the user selects the current chart's timeframe, it functions identically to the standard ALMA_Pro indicator. It also fully supports both standard and Heikin Ashi price data.

2. Mathematical Foundations and Calculation Logic

The underlying calculation is identical to the standard ALMA, utilizing a Gaussian distribution for its weights. The key innovation here is the multi-timeframe application.

Calculation Steps (Algorithm)

1. Fetch Higher Timeframe Data: The indicator retrieves the OHLC price data for the user-selected higher timeframe (htf).
2. Calculate ALMA on the Higher Timeframe: The complete ALMA calculation (using Gaussian weights based on Offset and Sigma) is performed using the htf price data.
3. Project to Current Chart: The calculated htf ALMA values are mapped to the current chart, creating a characteristic "step-like" line that represents the higher timeframe's trend.

3. MQL5 Implementation Details

• Self-Contained and Robust: This indicator is fully self-contained and does not depend on any external indicator files (iCustom). It directly fetches the required higher-timeframe price data using built-in Copy... functions for maximum stability.

• Modular Calculation Engine (ALMA_Calculator.mqh): The indicator reuses the exact same calculation engine as the standard ALMA_Pro. This ensures mathematical consistency across all versions.

• Optimized Incremental Calculation (O(1)): Unlike basic MTF indicators that recalculate the entire history on every tick, this indicator employs a sophisticated incremental algorithm:

  • HTF State Tracking: It tracks the calculation state of the higher timeframe separately (g_htf_prev_calculated).
  • Persistent Buffers: The internal buffer for the higher timeframe is maintained globally, preserving the state between ticks.
  • Efficient Mapping: The projection loop only updates the bars corresponding to the new data.
  • This ensures the indicator remains lightweight and high-performance even on heavy load.

• Dual-Mode Logic: The OnCalculate function contains a smart branching logic.

  • If a higher timeframe is selected, it performs the optimized MTF data fetching and projection process.
  • If the current timeframe is selected, it bypasses the MTF logic and functions identically to the standard ALMA_Pro.

4. Parameters

• Upper Timeframe (InpUpperTimeframe): The higher timeframe on which the ALMA will be calculated. If set to PERIOD_CURRENT, the indicator will run on the current chart's timeframe.
• Window Size / Period (InpAlmaPeriod): The lookback period for the moving average. (Default: 9).
• Offset (InpAlmaOffset): Controls the focus of the moving average (0 to 1). (Default: 0.85).
• Sigma (InpAlmaSigma): Controls the smoothness of the moving average. (Default: 6.0).
• Applied Price (InpSourcePrice): The source price for the calculation (Standard or Heikin Ashi).

5. Usage and Interpretation

The MTF version of ALMA is an exceptionally powerful tool for multi-timeframe trend analysis.

• Dynamic Support and Resistance: The primary use of the MTF ALMA is as a dynamic, high-level area of support and resistance. Because ALMA reduces lag, the levels it provides are often more responsive than a standard MTF moving average.

• Major Trend Filter: The slope and position of the MTF ALMA line provide a clear view of the dominant market condition.

  • If the price is consistently above a rising MTF ALMA, the market is in a strong uptrend.
  • If the price is consistently below a falling MTF ALMA, the market is in a strong downtrend.

• Confirmation of Breakouts: A breakout on the lower timeframe that is supported by the direction of the MTF ALMA line is a much stronger and more reliable signal.