Anyone know about MAMA/FAMA moving averages?

I apologize if a thread like this already exists. I did a search for it but couldn't find much.

This comes from 'Cybernetic Analysis for Stocks and Futures'

Does anyone use MAMA FAMA? I have been playing around with moving averages for years and finally came across this one. I added the Laguerre Filter, and a sinwave oscillator as well.

The rules are simple: Step 1 Enter long if MAMA crosses above FAMA AND Laguerre Filter is bullish AND sinwave is Bullish. Step 2 Watch for follow through, ie price is moving up if long. Step 3 Move S/L to profitable. It helps to watch for S/R areas as well. I mostly trades futures (currency futures, treasury futures) I don't trade spot FX too much.

Short rules are just the opposite.

I use Tradestation and I could share the code if you wish. Although, an internet search will find you the same thing I found. Minus my alerts.

What would help me a lot is if someone could explain what the difference is between KAMA and VIDYA (Kaufman Adaptive and Variable Index Dynamic Average and MAMA/FAMA.

Here is the chart from the EURO futures today. Today is not the best day because Bernake said during he speech he will keep the printer running.

This is one of my favorite products to trade, the 5 year treasury note. It can be really dull at times, like watching gross grow, but it provides lots of low risk entries 3-5 days a week. The 10 year treasury note future is the same.

The MAMA FAMA work very well. I am using it with a sinewave oscillator and a trend oscillator. The rules are simple buy when the red MAMA crosses the blue FAMA and the RED sinewave crosses the blue sinewave and when the trend is above 0.

The results in the yen futures are amazing. I can code a strategy with the MAMA/FAMA and the trend line. I don't know how to combine the sinewave. When I do I don't get any trades. Can anyone help? This is all done with tradestation and easy language. I can share the codes (which by the way are not mind to begin with, but I did make adjustments to them). The trick is to find the correct time frame. This doesn't work on 5 minute charts or 1M charts. It works on tick charts. I guess because the tick charts provide areas where price slows. Meaning, on a 5M chart you may have a large red bar. I see many red bars usually with green inside bars.

This also works well on CAD and on the treasury futures. On cable it or the EUR it doesn't work as well. They are too choppy and often revert to the mean (meaning they tend to have more support and resistance areas). It works well on the Aussie as well. Haven't tried any other pairs. The swiss government has killed my other favorite pair to trade.

Nice indicator I will use it in combination with Heiken Ashi.

Hi daniel242, any chance you can post you code to your charts? I'm a fan of the Mama and Fama but only used them in esignal.

Thanks for the posts. Here is the code for the MAMA FAMA I didn't change anything.


Inputs: Price((H+L)/2), FastLimit(.5),SlowLimit(.05);
Vars: Smooth(0), Detrender(0),I1(0),Q1(0),jI(0),jQ(0),I2(0),Q2(0),Re(0),
Im(0), Period(0),SmoothPeriod(0),Phase(0),DeltaPhase(0),alpha(0),
MAMA(0),FAMA(0);
If CurrentBar > 5 then begin
Smooth = (4*Price + 3*Price[1] + 2*Price[2] + Price[3]) / 10;
Detrender = (.0962*Smooth + .5769*Smooth[2] - .5769*Smooth[4]
- .0962*Smooth[6])*(.075*Period[1] + .54);
{Compute InPhase and Quadrature components}
Q1 = (.0962*Detrender + .5769*Detrender[2] - .5769*Detrender[4]
- .0962*Detrender[6])*(.075*Period[1] + .54);
I1 = Detrender[3];
{Advance the phase of I1 and Q1 by 90 degrees}
jI = (.0962*I1 + .5769*I1[2] - .5769*I1[4]
- .0962*I1[6])*(.075*Period[1] + .54);
jQ = (.0962*Q1 + .5769*Q1[2] - .5769*Q1[4]
- .0962*Q1[6])*(.075*Period[1] + .54);
{Phasor addition for 3-bar averaging)}
I2 = I1 - jQ;
Q2 = Q1 + jI;
{Smooth the I and Q components before applying the discriminator}
I2 = .2*I2 + .8*I2[1];
Q2 = .2*Q2 + .8*Q2[1];
{Homodyne Discriminator}
Re = I2*I2[1] + Q2*Q2[1];
Im = I2*Q2[1] - Q2*I2[1];
Re = .2*Re + .8*Re[1];
Im = .2*Im + .8*Im[1];
If Im <> 0 and Re <> 0 then Period = 360/ArcTangent(Im/Re);
If Period > 1.5*Period[1] then Period = 1.5*Period[1];
If Period < .67*Period[1] then Period = .67*Period[1];
If Period < 6 then Period = 6;
If Period > 50 then Period = 50;
Period = .2*Period + .8*Period[1];
SmoothPeriod = .33*Period + .67*SmoothPeriod[1];
If I1 <> 0 then Phase = (ArcTangent(Q1 / I1));
DeltaPhase = Phase[1] - Phase;
If DeltaPhase < 1 then DeltaPhase = 1;
alpha = FastLimit / DeltaPhase;
If alpha < SlowLimit then alpha = SlowLimit;
If alpha > FastLimit then alpha = FastLimit;
MAMA = alpha*Price + (1 - alpha)*MAMA[1];
FAMA = .5*alpha*MAMA + (1 - .5*alpha)*FAMA[1];
Plot1(MAMA, "MAMA");
Plot2(FAMA, "FAMA");
If MAMA crosses over FAMA then alert ("Long");
If FAMA crosses over MAMA then alert ("Short");
End;

Here is the code for the trend. I use a 20 period and a 14 period.

Inputs:
Price((H+L)/2),
Period(20),
Delta(.5),
fraction(.1);
Vars:
alpha(0),
beta(0),
gamma(0),
BP(0),
Trend(0);
beta=Cosine(360/Period);
gamma=1/Cosine(720*delta/period);
alpha =gamma-SquareRoot(gamma*gamma-1);
BP=.5*(1-alpha)*(Price-Price[2])+beta*(1+alpha)*BP[1]-alpha*BP[2];
Trend=Average(BP,2*Period);
If Trend crosses over 0 then alert ("Long");
If Trend crosses below 0 then alert ("short");
Plot1(Trend);
Plot2(0);

With the help of a tradestation expert I was able to code the strategy. I used a simple stop loss and profit target. The results were promising. For the JY (Yen futures) +44 winners in one month profit pacter 1.94. AD (aussie futures) about 30% winner. Same for the FX. CAD is about 35% winners. The treasury futures is about 50% winners.

The next step is to create trade managment. Instead of profit targets, let the trade run until the MAMA FAMA crosses or the Sinewave crosses or something.

Most important would be to see when this doesn't work and why it doesn't work in the EURO.

Here is the USDJPY today. Rules when the sinewave goes above 70 that is resistance - then look for the MAMA FAMA cross and trend line below 0.

The yen has offered some really nice setups. I wonder how long it will last. It was really hard to trade it while is in its range. I fear that it will go back into that range and not provide as many trades.

This is the EURUSD today. No trades, that spot with the yellow line could be an entry. Small cluster, resistance, trend below 0, and MAMA FAMA cross.

Going off topic:
There was a good point about the EURO today on ForexLive. Usually (in the past) when stocks sell off the EURO will tank) not today and it may not happen too much. As reported by forex live the banks in Europe are moving money home which means they need EURO's so they have to buy them, which limits the downside.

It seems as we head into this new downturn (if it turns out to be a downturn) the markets will change once again. The fun days were when you could sell the EURO, GBP, CHF, AUS, and sit back. Those days are over. The markets are complex and have become even more complex. Fear is still in the market.

I found a bunch of other posts about the Sinewaves although they are all old. I wonder if those people are still trading or if they were wipped out. My guess is they were wiped out. Even tradestation's website didn't have much about. I guess because people are too busy making money or they stopped trading.

EURUSD today 4/11. Lots of signals. Do you trade them all or just 1 or 2?

here is more info on this blog

http://toshi52583.blogspot.ca/2010/0...nd-slight.html

and on another form

http://www.forex-tsd.com/indicators-...cators-22.html

Thanks for the posts.

Take a look at these charts. MAMA and FAMA, 9/18MA and 9/18WMA. Check out the number of crosses as the AUD goes sideways. Also, look at where the break out bar is and where the MA's cross.

That break out might be hard to catch because the trends are lower. A good news source and you here the rumors about China GDP. Good understanding of the market and you know that the Aussie jobs report was really good and that means China is ok and if China is ok then the world is ok. Makes sense? Then since the world (meaning China) is ok, then buy AUDUSD. Because the Aussies support China and China supports the world. Anway, had to get that out.

For my two cents the break out bar for the MAMA FAMA break out is safer to enter because it breaks the small resistance point. The simple MA's cross on red dojis (doji-ish looking bars). I don't like entering trades on breakouts that are red dojis and are inside bars.

I hope that makes sense

Found this over the weekend. It describes MESA and why it works. I disagree with some of it. The article also clearly shows the author holding back on information. Granted, I am not a math person, but the references to two equations are hardly complete. I also read reviews of the MESA system. Some people claimed to have programmed the whole system and returned poor results. I will post charts later that explain why I believe those poor results were achieved.

This shows why this system could fail and why it is not perfect. It doesn't adapt to the quick change in the market.

This is the 5 year treasury futures. A really dull product to trade but it can be simple to trade at times and can create good cash flow.

The Sinewave and the MAMA and FAMA lag the market. But the bullish trend holds and the indicators match the charts. I believe with this system and any other it needs to be adaptive and have adaptive money managment. Also, the treasuries are linked with the YEN. As the FV broke the down trend the YEN broke lower. When the yen is lower usually the 10 year and 5 year go higher.

I'm not sure how I got placed in Platform Tech. I quess because I asked about codes and programming. oh well.

My goal with this is and the indicators I am playing with is to quanify my trading and put what I have been doing (with success) in clearer terms so that I may write code to program how I trade or teach others how I trade.

Hope that makes sense. Anyway, here is a chart of EURUSD today. Dull day (like watching grass grow for the untrained eye). The two indicators I added are measuring peaks and valleys on a 14 day period and 20 day period. Places to buy are MAMA FAMA crosses with positive trends and higher peak numbers. The purple bars are valleys - the keep going lower because Price has been making lower lows. Will post more charts and code for indicators later.

I think looking only at the trends and price action and not an oscillator is more to the non linear, nature of the markets.

Today's EURUSD

Not as exciting as I would like it for a Thursday. I guess it will take a country with rising debt costs, a new arms race, and bad economic data to move the markets. Oh, wait. That all happened today. I guess everyone is just waiting to see if they get free money or not. Volume in the EUR futures was very high. Seems like people are going long ahead of the fed meeting and GDP data next week.

Rather dull day. Over the 10 pairs that I follow (that's a lot I know) there were 40 crosses with the MAMAFAMA. Of those 40 17 were trades. Of those 17 4 were stopped out. Three ran for 30+pips. Two ran for 20+ pips and the others were 5 pips or more. That means 92% were profitable, 23.5 were losses.

EURAUD 5/2. Good play on AUD/USD weakness and weak dollar. This chart is really funny because if you look at the EU session and the NY session it makes a big smile.

I trailed this fairly hard because I knew that if it came back to the TL it would break it. The 14 period trend moves very sharply up and the valleys on the 14 period and 20 period stop printing. It is a sign that it is too high, too fast.

Attached is an MAMA/FAMA indicator with alerts (popup, sound, email, pushnotification).
It is a modified version of the indicator I found in this thread (attached also the .doc as .pdf).