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metalhead

Adaptive Moving Average (AMA)

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Does anyone use this? I did a search and didn't find anything.

 

Sometimes also called AMA, or KAMA (Kaufman Adaptive Moving Average).

 

This moving average goes flat during choppy markets.

 

Screenshot with some other MAs for comparison.

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Metalhead

Thanks a heap, when I initially got this charting program I went through the 10 different types of MA on offer and it was six of one and half a dozen of the other none of them showed any particular advantage.(that I could see)

 

However hidden in amongst the indicators was another MA the "Perry Kaufman's adaptive Moving Average" which I have just checked out and you are dead right! it is pretty amazing and I will keep it on the charts.

 

Thank you very much, without your post I would not have bothered to look for it let alone use it.

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Glad you find it useful. I'm trying to come up with good applications/settings for this MA.

 

Also be aware that you can change more than just the length in the settings. There's also Fast Smoothing Constant and Slow Smoothing Constant.

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Hi Forsearch

 

Thanks for that, I had picked up "Trading systems and Methods" from the same site but had not gotten around to reading it yet, I thought it would have the MA's in that one.

 

P.S. I havent got the holy grail yet but I do have one I call the 4 horsemen, It is signifying the US Indexes are getting ready to go bullish for between 4 to 6 weeks, and the XAO would follow them

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The problem when the AMA "going flat" is that it's not actually "going flat." It's still moving up or down a little bit and therefore still has a slope.

 

I've been trying to come up with a way to modify the AMA so that "almost flat" counts as "flat." Basically you have to apply a filter so that if the change between the previous AMA reading and the current AMA reading is less than a certain amount, it "doesn't count."

 

I can't find a good way to come up with this value, so here's a pic with an arbitrary value chosen.

 

Green = go long.

Yellow = do nothing (chop)

Red = go short.

 

Notice there are some good signals and some bad signals. Some of the good signals come late.

5aa70e78b354b_AMASLOPE.thumb.jpg.513682e8e55c4b99cdfc399392cc9cfe.jpg

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The problem when the AMA "going flat" is that it's not actually "going flat." It's still moving up or down a little bit and therefore still has a slope.

 

I've been trying to come up with a way to modify the AMA so that "almost flat" counts as "flat." Basically you have to apply a filter so that if the change between the previous AMA reading and the current AMA reading is less than a certain amount, it "doesn't count."

 

I can't find a good way to come up with this value, so here's a pic with an arbitrary value chosen.

 

Green = go long.

Yellow = do nothing (chop)

Red = go short.

 

Notice there are some good signals and some bad signals. Some of the good signals come late.

 

I have used the KAMA (Kaufman) to create MA envelopes and even use a single kAMA line as a trend/chop indicator with varing degrees of success. Still dabbling with it, but I must say it's my current preferred MA to use these days, and highly endorse those who want to explore its utility in trading and TA. Right now I'm trying to figure out a good time period for the KAMA to help me on the ES given my trading style. Also, I've dabbled with the MESA (Ehlers) and it's on my to-explore-further list....but right now, the KAMA is where I'm focussing my efforts on.

 

Question -- how did you color the KAMA to shift green/yellow/red? Is this an Easylanguage thing you can share with us?

Edited by rickf

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What I love to do with the Adaptive Moving Average is to confirm the signals it generates on a smaller time frame, but it doesn't work the same way for all markets .. not at all. For instance for Kospi I use a 15 min time frame to generate the signal and confirm it on the 5 min. For Gold for instance I use 1h time frame and confirm down to 15 min time frame ( 15 and 30 ). For GBP/USD I use 30 min and 15 min to confirm... I have derived some simple rules like (don't go against the smaller time frame etc ... ) and it seems to work for me, though I don't use it alone but always with combination of other indicators... Here is a screen shot of a 700 pip move on kospi that I got thanks to this MA... 700 pips with one lot (that's the min my broker allows are 3,5k in one day) not bad at all, I am still on backtesting.

kospislav.thumb.JPG.d14a705f8c4ade603b1958a75093e757.JPG

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Question -- how did you color the KAMA to shift green/yellow/red? Is this an Easylanguage thing you can share with us?

 

I did it in SierraChart. I don't remember exactly what I did because I didn't like it so I didn't save the code. I think what I did was compare the current value to the previous value and if the difference was between -1 and 1, I colored it yellow, otherwise it was green (if higher) or red (if lower). I just arbitrarily picked a value of 1 because I was using it on the YM which trades in 1 point increments. You might want to adjust your parameters for other instruments. Or convert it to a % that works in all markets. I dunno.

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Of all of these different AMAs I find the JMA from Jurik Research to be the most useful and his MACD blows the others away.

 

It is sold as an add on to Trade Station and other packages, has inputs for both speed and phase and is very widely used by professionals around the world.

 

I have been using it for years to smooth inputs to neural networks.

 

It comes as a set of user functions and indicators so you can use the user functions with any time series input and creat your own custom indicators and MACDs.

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I just bought 2 JMAs for a couple of my clients and it was $205 for each license.

 

Unless you are a losing trader or trade so small so as to not even really be in the market, it is the effectiveness of the tool and not its cost that is important. While the JMA only cost $205 I would gladly pay 2k if that is what it cost.

 

For me, the search is for the best tools and their price is not an issue. And for a tool that smooths time series data, I can find no better than the JMA, or even one that comes close.

 

BTW - we coded the HMA for Trade Station and found it to be way less efficient in our optimizations than JMA.

 

A JMA MACD function comes with the package and with a little tinkering/optimization of both speed and phase in both of the MACD JMAs the results can be shocking and offer one of the few places where a multi-layered smoothing of price can actually lead price.

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UrmaBlume,

 

re:

...a little tinkering/optimization of both speed and phase in both of the MACD JMAs...
What do you mean by phase? Many thanks.

 

zdo

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Yes Jurik MA is great! Has it ever been beaten?

...btw for a 'low cost' alternative that tracks as smoothly and only occasionally lags JMA turns by one bar - see https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=77583&SearchTerm=a%20better%20moving%20average&txtExactMatch=

 

zdo

 

Can you copy and paste the relevant information for those of us that aren't Tradestation users? Thanks!

 

btw UrmaBlume you were right, I checked Jurik's website and it's $205. I don't know where I got the "thousands" from. Maybe that's their old price or their institutional price.

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Could someone post a chart with the JMA along side say an EMA as I am curious as to how they compare. Also why is the JMA so good ?

 

Trader333

 

JMA‘s ( and adaptive MA’s in general) main advantage is improved smoothness without introducing significantly more lag… mostly a benefit to automated systems to produce fewer 'false' setups or triggers…

 

JMA's weaknesses include a tendency to overshoot...

 

For years the only use I have of JMA is that it quickly gets flat in congestion and stays more stable and flat (relative to other measures) and thus is a better indicator to build congestion bands around... yada yada

 

A comparison is attached of 1 min YM with (c,4) settings. Red is EMA, White is JMA… up arrows show some of the extra jiggles in ema….hth.

 

zdo

JmaEmaComparison.thumb.jpg.5bc143635c06b09e3138140b94e15494.jpg

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zdo,

 

Thanks for your reply, I have used AMA and specifically MAMA which I have found of use although I don't use it now to trade specifically. I was using it as part of cycle analysis on certain stocks at key times aligned with INDU.

 

 

Paul

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The phase setting will help with over shoot.

 

Also the JMA package comes with a MACD function which has inputs for both speed and phase for 2 JMAs. I use this MACD line along with a JMA of that same line which is, of course, the difference between the 2 unseen lines of the MACD.

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^ Thanks for the link! That MA looks great.

 

I wonder how it compares with Zero Lag EMA. I don't have TS so I don't have access to that Quick MA. I use SierraChart and we has Zero Lag ema and it's awesome. I can post some screenshots if you're not familiar with it.

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^ Thanks for the link! That MA looks great.

 

I wonder how it compares with Zero Lag EMA. I don't have TS so I don't have access to that Quick MA. I use SierraChart and we has Zero Lag ema and it's awesome. I can post some screenshots if you're not familiar with it.

 

MetalHead,

 

I'm not familiar with zeroLag MA. If you have the Sierra code, please post it and we'll see what's going on with it. Thanks.

 

zdo

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Hello fellow traders, I wanted to add my experience arround adxvma's moving averages... the chimp actually uses this kind of indicators on his system ( all indis developed here on this great forum )... this averages have the ability of going horizontal when market chops arround and take a direction when things start trending... you can check this threads for further information : http://www.traderslaboratory.com/forums/f24/the-chimp-s-forex-trades-2698.html http://www.traderslaboratory.com/forums/f24/playing-with-the-vmar-s-open-2440.html my two cents, cheers Walter.

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