The indicator is a combination of the FATL digital filter and analogue JMA adaptive smoothing.

The average is calculated the following way:

JFATL[bar] = JMA(FATL(PRICE[bar]))
where:

FATL() - FATL digital filter value;
JMA() - JMA adaptive smoothing algorithm;
PRICE[] - price series value;
bar - current bar index.
Additional JMA smoothing is used to prevent the indicator activation at each occasional market move.

ColorJFatl and JFatl indicators use the CJJMA class of the SmoothAlgorithms.mqh library. The use of the class was thoroughly described in the article "Averaging Price Series for Intermediate Calculations Without Additional Buffers".