Optimal Tracking Filter

Type : Indicator, Name : Optimal Tracking Filter

inputs: Price((h+l)/2);

vars: lambda(0),
alpha(0);

Value1 = .2*(Price - Price[1]) + .8*Value1[1];
Value2 = .1*(H - L) + .8*Value2[1];
if Value2 <>0 then lambda = AbsValue(Value1 / Value2);
alpha = ( -lambda*lambda + SquareRoot(lambda*lambda*lambda*lambda + 16*lambda*lambda)) /8;
Value3 = alpha*Price + (1-alpha)*Value3[1];

Plot1(Value3, "AlphaTrack");