Adaptive Moving Average -- Kaufman

I only found a little bit about this indicator searching the threads. Has anybody found the adaptive moving average to be helpful? If so; How?

Nothing? Surly somebody has come across this and tried it out.

I haven't used it yet, but came across it just recently, when looking into the work of John Ehlers. What all adaptive indicators have in common, is that they change their behaviour, based on market conditions. That is, trend following indicators, like MAs, are made more responsive (faster) in trending periods, and slower during ranging periods.

Here is a comparision between three AMAs and an EMA and their respective "trend defining" functions. You can see, that the AMAs whipsaw a lot less (lower left and upper right corner) but lead the way during strong trends.

http://img182.imageshack.us/img182/7...iveemasal1.gif


You should also take a look at the auto linked thread at the bottom.

i did about 2 weeks of research with this indicator a long time ago, because kaufman is one of my favorite authors on mechanical systems. i created an indicator for it, if i remember correctly it was not easy to program. but in the end i dont think it does much more than any other MA based indicator. if you find otherwise let us know!

Iya, I don't suppose you could post those indicators you have on your screen shot there? I'm most interested in the efficiency ratio. (although it is probably very easy to program).

Hi Mathew, here is an idea. you could use the kaufman direction as a trend filter and then use CCI as an entry trigger. Here is a screen shot. This is just an idea, nothing more.

Yea, sure. It was just some experimenting, though. It may help to better understand the KAMA, but I'm not sure if its useful as a standalone indicator. Some remarks on the formula:
http://img175.imageshack.us/img175/3...cyratiork5.png
It doesn't measure absolute trend strength, but rather the smoothness of a move. If there was a strait move for N candles, it aproaches 1, and if the price comes back to where it was N candles ago, it apraches 0. Everything inbetween is a kind of signal (trend) to noise (whipsaws) ratio. Since it's always positive, I've colored it two ways, based on the sign of Close - Close[N] to easier see the direction of the trend.

what is the construction of KAMA? I only found, that ER = [ ABS (Close t – Close t-n)] / [n ∑ (ABS(Close t – Close t-1))]. But now - the second part - Am I right when firstly I count ABS(Close 10 - Close 9), then ABS(Close 9 - Close 8)... ABS( Close 2 - CLose 1 ) and then secondly I sum it all together?

2nd question : SC. If I use for example period from 5 to 10 days, how can I SC count? Formula : SC=ER*(Fast SC-Slow SC)+Slow SC - what do Slow and Fast SC mean?

Fast SC and Slow SC are user-entered parameters that determine the shape of the resulting plot. They are the SLOW and FAST parameters in the AdaptiveEMA indy attached to post #7. The larger the values (especially the FAST value), the greater the lag, and also the greater the smoothing factor (as with all MAs). Read the attached PDF (an article from Currency Trader magazine), and also attach the indy to a MT4 chart (setting the TYPE parameter to 2, for KAMA), to better understand the effect that different sets of values have.

Re your questions on the formula, the article gives a good explanation on how the formula is constructed, and you could also examine the code in the indy.

thanks, now it is clear to me

Interesting tests of adaptive moving averages on the large portfolio. The method holds but seems rather average.

interesting indicator, I try it, I was looking for SMA alternatives anyway

I did not realize that adaptive moving average is so popular indicator. I thought this indicator is like ordinary moving average indicator.
I compared 9 period AMA with 9 period EMA. Here is the result. AMA is more stable than EMA



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trend retracement trading

Hi pepesan,

what kind of properties are you using for AMA?