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8.6 Fractal Adaptive Moving Average

http://www.mesasoftware.com/technicalpapers.htm
http://www.mesasoftware.com/Papers/FRAMA.pdf

The fractal adaptive moving average (FRAMA) by John Ehlers is an exponential style moving average (see Exponential Moving Average) with an alpha smoothing factor that varies according to a fractal dimension calculated over the past N day’s prices.

The dimension is calculated by looking at the N days in two halves, the immediately preceding N/2 days and the N/2 preceding that. The trading ranges in those halves are compared to the total range and an alpha factor for the EMA generated. The calculation is slightly tricky but in essence the amount of overlap between the ranges is measured. The alpha factor is small and the EMA slow when the halves overlap. The alpha is large and the EMA fast when the halves don’t overlap but add up to make the overall N day range.

The FRAMA alpha factor and the fractal dimension value are available in the lower indicator window, to see where they’re big or small, under “Low Priority” near the end of the indicators lists.

8.6.1 Additional Resources


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