Ehlers Fractal Adaptive Moving Average (FRAMA)

Category: trend, volatility

The Fractal Adaptive Moving Average (FRAMA) uses fractal geometry to dynamically adjust its smoothing factor based on the market's fractal dimension, providing rapid response in trends and stability in ranges.

Formula

N1 = (HH(h) - LL(h)) / h \\
N2 = (HH(h)_{lag\ h} - LL(h)_{lag\ h}) / h \\
N3 = (HH(pe) - LL(pe)) / pe \\
D = \frac{\log(N1+N2) - \log(N3)}{\log(2)} \\
\alpha = \exp(-4.6 \cdot (D-1)) \\
FRAMA = \alpha \cdot Price + (1 - \alpha) \cdot FRAMA_{t-1}

Inputs

• period (default: 16)

See signal primitives and every published strategy that uses Ehlers Fractal Adaptive Moving Average (FRAMA) on WOBR StrategyVerse.