Trend indicators
FrAMA: Fractal Adaptive Moving Average
A moving average that adapts its speed to how "rough" or "smooth" the recent price path looks.
Die Idee in einfachen Worten
A trending market draws a fairly straight path; a choppy one draws a jagged, space-filling path. FrAMA measures this roughness (its "fractal dimension") and follows the price quickly when the path is straight and slowly when it is jagged.
So wird gerechnet
It compares the price range of the first half of the window, the second half and the whole window. If the whole range is about the sum of the halves, the path is straight (trend); if it is much smaller, the path doubled back (noise). That sets the speed of an exponential average.
N1 = range of first half ÷ half length, N2 = range of second half ÷ half length
N3 = range of whole window ÷ window length
D = (log(N1 + N2) − log(N3)) ÷ log(2)
speed a = exp(−4.6 × (D − 1)), kept between 0.01 and 1
FrAMA today = a × price + (1 − a) × FrAMA yesterdayAnwendung
- Use it as a trend line that stays put in sideways markets and moves fast in trends.
- Price crossing a flat FrAMA is less meaningful than crossing a sloping one.
Schlüsse ziehen
- A sudden tilt in a previously flat FrAMA often marks a breakout.
Beispiel
On a 4-hour chart, FrAMA hugs the price during a clean three-day rally, then goes almost flat during the choppy pause that follows.
Kurse in Beispielen dienen der Veranschaulichung.
Worauf man achten sollte
- It can jump when the volatility pattern changes abruptly.
Ein wenig Geschichte
John Ehlers described FrAMA in Technical Analysis of Stocks & Commodities in 2005, applying fractal geometry ideas made popular by Benoit Mandelbrot.
Nur Bildungsinhalte. Kein Indikator und kein Muster sagt die Zukunft voraus, und nichts hier ist eine Anlageberatung.