Оптимальный следящий фильтр Элерса

_SECTION_BEGIN("Ehlers OTF");
function EhlersOTF(Period)
{	local Val1,Val2,val3,Price,Lambda,Alpha;

	SC = 2/(Period+1);
	MPr =(H+L)/2;

	Val1[ 0 ] = SC * MPr[0];
	Val2 = SC *(H-L) / 2;

	for (i = 1 ; i < BarCount ; i++)
	{	Val1[ i ] = SC * (MPr[ i ]-MPr[i-1])   +(1-SC) * Val1[i-1];
		Val2[ i ] += (1-SC) * Val2[i-1];
	}
	
	Lamb  = IIf(Val2,abs(Val1/Val2),0);
	Alpha =(-Lamb^2 + Lamb * sqrt(Lamb^2+16))/8;

	Val3 = C * Alpha;
	for (i = 1 ; i < BarCount ; i++)
		Val3[ i ] += (1-Alpha[ i ]) * Val3[i-1];
	return Val3;
}


Plot(EhlersOTF(Param("Period of Smoothing OTF",9,3,100)),"OTF",colorBlue);
Plot(C,"",colorBlack,styleCandle);
_SECTION_END();