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The document describes a filter function that uses a pole number to calculate weights for different terms in a filter equation. It defines inputs for the number of poles, sampling period, and other parameters. It then shows the calculations and definitions used by the filter function to generate filtered values and bands. Finally it outputs plots of the filtered values and bands along with buy and sell signals.

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d.chakol
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21 views

MSP

The document describes a filter function that uses a pole number to calculate weights for different terms in a filter equation. It defines inputs for the number of poles, sampling period, and other parameters. It then shows the calculations and definitions used by the filter function to generate filtered values and bands. Finally it outputs plots of the filtered values and bands along with buy and sell signals.

Uploaded by

d.chakol
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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//@version=4

study(title="Dataraam ", shorttitle="Dataraam ", overlay=true)

//Filter function
f_filt9x (_a, _s, _i) =>
int _m2 = 0, int _m3 = 0, int _m4 = 0, int _m5 = 0, int _m6 = 0,
int _m7 = 0, int _m8 = 0, int _m9 = 0, float _f = .0, _x = (1 - _a)
// Weights.
// Initial weight _m1 is a pole number and equal to _i
_m2 := _i == 9 ? 36 : _i == 8 ? 28 : _i == 7 ? 21 : _i == 6 ? 15 : _i == 5 ? 10
: _i == 4 ? 6 : _i == 3 ? 3 : _i == 2 ? 1 : 0
_m3 := _i == 9 ? 84 : _i == 8 ? 56 : _i == 7 ? 35 : _i == 6 ? 20 : _i == 5 ? 10
: _i == 4 ? 4 : _i == 3 ? 1 : 0
_m4 := _i == 9 ? 126 : _i == 8 ? 70 : _i == 7 ? 35 : _i == 6 ? 15 : _i == 5 ? 5
: _i == 4 ? 1 : 0
_m5 := _i == 9 ? 126 : _i == 8 ? 56 : _i == 7 ? 21 : _i == 6 ? 6 : _i == 5 ?
1 : 0
_m6 := _i == 9 ? 84 : _i == 8 ? 28 : _i == 7 ? 7 : _i == 6 ? 1 : 0
_m7 := _i == 9 ? 36 : _i == 8 ? 8 : _i == 7 ? 1 : 0
_m8 := _i == 9 ? 9 : _i == 8 ? 1 : 0
_m9 := _i == 9 ? 1 : 0
// filter
//_f := pow(_a, _i) * nz(_s) + _i * _x * nz(_f[1]) - (_i >= 2 ?
//_m2 * pow(_x, 2) * nz(_f[2]) : 0) + (_i >= 3 ?
//_m3 * pow(_x, 3) * nz(_f[3]) : 0) - (_i >= 4 ?
//_m4 * pow(_x, 4) * nz(_f[4]) : 0) + (_i >= 5 ?
//_m5 * pow(_x, 5) * nz(_f[5]) : 0) - (_i >= 6 ?
//_m6 * pow(_x, 6) * nz(_f[6]) : 0) + (_i >= 7 ?
//_m7 * pow(_x, 7) * nz(_f[7]) : 0) - (_i >= 8 ?
//_m8 * pow(_x, 8) * nz(_f[8]) : 0) + (_i == 9 ?
//_m9 * pow(_x, 9) * nz(_f[9]) : 0)

_f := pow(_a, _i) * nz(_s) + _i * _x * nz(_f[1]) - (_i >= 2 ? _m2 * pow(_x, 2)


* nz(_f[2]) : 0) + (_i >= 3 ? _m3 * pow(_x, 3) * nz(_f[3]) : 0) - (_i >= 4 ? _m4 *
pow(_x, 4) * nz(_f[4]) : 0) + (_i >= 5 ? _m5 * pow(_x, 5) * nz(_f[5]) : 0) - (_i >=
6 ? _m6 * pow(_x, 6) * nz(_f[6]) : 0) + (_i >= 7 ? _m7 * pow(_x, 7) * nz(_f[7]) :
0) - (_i >= 8 ? _m9 * pow(_x, 9) * nz(_f[9]) : 0)

//9 var declaration fun


f_pole (_a, _s, _i) =>
_f1 = f_filt9x(_a, _s, 1), _f2 = (_i >= 2 ? f_filt9x(_a, _s, 2)
: 0), _f3 = (_i >= 3 ? f_filt9x(_a, _s, 3) : 0)
_f4 = (_i >= 4 ? f_filt9x(_a, _s, 4) : 0), _f5 = (_i >= 5 ? f_filt9x(_a, _s, 5)
: 0), _f6 = (_i >= 6 ? f_filt9x(_a, _s, 6) : 0)
_f7 = (_i >= 2 ? f_filt9x(_a, _s, 7) : 0), _f8 = (_i >= 8 ? f_filt9x(_a, _s, 8)
: 0), _f9 = (_i == 9 ? f_filt9x(_a, _s, 9) : 0)
_fn = _i == 1 ? _f1 : _i == 2 ? _f2 : _i == 3 ? _f3 :
_i == 4 ? _f4 : _i == 5 ? _f5 : _i == 6 ? _f6 :
_i == 7 ? _f7 : _i == 8 ? _f8 : _i == 9 ? _f9 : na
[_fn, _f1]

//---------------------------------------------------------------------------------
--------------------------------------------------------------------------------
//Inputs
//---------------------------------------------------------------------------------
--------------------------------------------------------------------------------

//Source
src = input(defval=hlc3, title="Source")

//Poles
int N = input(defval=4, title="Poles", minval=1, maxval=9)

//Period
int per = input(defval=144, title="Sampling Period", minval=2)

//True Range Multiplier


float mult = input(defval=1.414, title="Filtered True Range Multiplier", minval=0)

//Lag Reduction
bool modeLag = input(defval=false, title="Reduced Lag Mode")
bool modeFast = input(defval=false, title="Fast Response Mode")

//---------------------------------------------------------------------------------
--------------------------------------------------------------------------------
//Definitions
//---------------------------------------------------------------------------------
--------------------------------------------------------------------------------

//Beta and Alpha Components


beta = (1 - cos(4*asin(1)/per)) / (pow(1.414, 2/N) - 1)
alpha = - beta + sqrt(pow(beta, 2) + 2*beta)

//Lag
lag = (per - 1)/(2*N)

//Data
srcdata = modeLag ? src + (src - src[lag]) : src
trdata = modeLag ? tr(true) + (tr(true) - tr(true)[lag]) : tr(true)

//Filtered Values
[filtn, filt1] = f_pole(alpha, srcdata, N)
[filtntr, filt1tr] = f_pole(alpha, trdata, N)

//Lag Reduction
filt = modeFast ? (filtn + filt1)/2 : filtn
filttr = modeFast ? (filtntr + filt1tr)/2 : filtntr

//Bands
hband = filt + filttr*mult
lband = filt - filttr*mult

// Colors
color1 = #0aff68
color2 = #00752d
color3 = #ff0a5a
color4 = #990032
fcolor = filt > filt[1] ? #0aff68 : filt < filt[1] ? #ff0a5a : #cccccc
barcolor = (src > src[1]) and (src > filt) and (src < hband) ? #0aff68 : (src >
src[1]) and (src >= hband) ? #0aff1b : (src <= src[1]) and (src > filt) ? #00752d :
(src < src[1]) and (src < filt) and (src > lband) ? #ff0a5a : (src < src[1]) and
(src <= lband) ? #ff0a11 : (src >= src[1]) and (src < filt) ? #990032 : #cccccc

//---------------------------------------------------------------------------------
--------------------------------------------------------------------------------
//Outputs
//---------------------------------------------------------------------------------
--------------------------------------------------------------------------------

//Filter Plot
filtplot = plot(filt, title="Filter", color=fcolor, linewidth=3)

//Band Plots
hbandplot = plot(hband, title="Filtered True Range High Band", color=fcolor)
lbandplot = plot(lband, title="Filtered True Range Low Band", color=fcolor)

//Channel Fill
fill(hbandplot, lbandplot, title="Channel Fill", color=fcolor, transp=80)

//Bar Color
barcolor(barcolor)

// Define source as the closing price of a stock


source = close

fastFilter = f_filt9x(alpha, source, 1)


slowFilter = f_filt9x(alpha, source, 9)

buySignal = crossover(fastFilter, slowFilter)


sellSignal = crossunder(fastFilter, slowFilter)

plotshape(buySignal, style=shape.arrowup, color=color.green, size=size.large,


location=location.belowbar, text="BUY")
plotshape(sellSignal, style=shape.arrowdown, color=color.red, size=size.large,
location=location.abovebar, text="SELL")

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