DSTrading (version 1.0)

FRAMA: FRactal Adaptive Moving Average

Description

FRactal Adaptive Moving Average

Usage

FRAMA(HLC, n = 20, FC = 1, SC = 200, triggerLag = 1, ...)

Arguments

HLC

an HLC price series

n

a lookback period

FC

a fast constant--aka lowest n for an EMA

SC

a slow constant--aka lowest n for an EMA

triggerLag

a number of days by which to lag the original computation

Value

an xts containing the FRAMA and the trigger

References

http://www.mesasoftware.com/Papers/FRAMA.pdf http://etfhq.com/blog/2010/09/30/fractal-adaptive-moving-average-frama/