Adaptive Moving Average by Perry Kaufman Tradestation Indicators Forex Trading Systems - XEATrade - Metatrader, Metastock, Tradestation, Amibroker

# A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Home
Forex Forum
+ Add Script
Metastock Expert Advisors Explorations Indicators Trading Systems Metatrader MQL Experts MQL Indicators MQ4 Experts MQ4 Indicators MQ4 Scripts Tradestation Functions Indicators PaintBars ShowMe Trading Systems Amibroker Commentaries Explorations Functions Indicators Trading Systems

Contact us



Newsletter

Group: Tradestation Indicators

Title: Adaptive Moving Average by Perry Kaufman

Description: The adaptive moving average that was discussed in the interview with Perry Kaufman in the 1998 STOCKS & COMMODITIES Bonus Issue (the article originally appeared in March 1995) is an excellent alternative to standard moving average calculations. In this month's Traders' Tips, I will present two Easy Language studies and an Easy Language system that are based on the adaptive moving average. The adaptive moving average calculation that is used in the studies and system in TradeStation or SuperCharts is performed primarily by a function referred to as "AMA." Another function referred to as "AMAF" is used to calculate the adaptive moving average filter. As always, the functions should be created prior to the development of the studies/system.

Type: Function, Name: AMA

Inputs: Period(Numeric); 
Vars: Noise(0), Signal(0), Diff(0), efRatio(0), Smooth(1), Fastest(.6667), Slowest(.0645), AdaptMA(0); 
Diff = AbsValue(Close - Close[1]); 
IF CurrentBar <= Period Then AdaptMA = Close; 
IF CurrentBar > Period Then Begin 
Signal = AbsValue(Close - Close[Period]); 
Noise = Summation(Diff, Period); 
efRatio = Signal / Noise; 
Smooth = Power(efRatio * (Fastest - Slowest) + Slowest, 2); 
AdaptMA = AdaptMA[1] + Smooth * (Close - AdaptMA[1]);
End; 
AMA = AdaptMA;

Author/Source: Perry Kaufman