Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

metalhead

Adaptive Moving Average (AMA)

Recommended Posts

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.

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

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

Share this post


Link to post
Share on other sites

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

Share this post


Link to post
Share on other sites
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

Share this post


Link to post
Share on other sites

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

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

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

Share this post


Link to post
Share on other sites
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.

Share this post


Link to post
Share on other sites
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

Share this post


Link to post
Share on other sites

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

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

^ 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.

Share this post


Link to post
Share on other sites
^ 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

Share this post


Link to post
Share on other sites

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.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • Date: 29th March 2024. GBPUSD Analysis: The Pound Trades Higher But For How Long? The global Stocks Markets are closed due to Easter Friday (Good Friday). The NASDAQ continued to follow the sideways trend while other indices again rose. The SNP500 reaches an all-time high, but the NASDAQ remains under pressure from Tesla, Meta and Apple. The Euro continues to trade lower against all major currencies including the US Dollar, Euro and Japanese Yen. The British Pound is the best performing currency during this morning’s Asian session. However, investors are largely fixing their attention on this afternoon’s Core PCE Price Index. GBPUSD – The Pound Trades Higher but For How Long? The GBPUSD is slightly higher than the day’s open and is primary due to the Pound’s strong performance. At the moment, the British Pound is increasing in value against all major currencies. However, the US Dollar Index is also trading 0.10% higher and for this reason there is a slight conflict here. If investors wish to avoid this conflict, the EURUSD is a better option. This is because, the Euro depreciating against the whole currency market avoiding the “tug-of-war” scenario. The GBPUSD is trading slightly lower than the 2-month’s average price and is trading at 49.10 on the RSI. For this reason, the price of the exchange is at a “neutral” level and is signalling neither a buy nor a sell. The day’s price action and future signals are possibly likely to be triggered by this afternoon’s Core PCE Price Index. Analysts expect the Core PCE Price Index to read 0.3% which is slightly lower than the previous month but will result in the annual figure remaining at 2.85%. The PCE rate is different to the inflation rate and the Fed aims for a rate between 1.5% to 2.00%. Therefore, even if the annual rate remains at 2.85%, as analysts expect, it would be too high for the Fed. If the rate increases, even if only slightly, the US Dollar can again renew bullish momentum and the stock market can come under pressure. This includes the SNP500. Investors are focused on the publication of data on the UK’s gross domestic product (GDP) for the last quarter of 2023: the quarterly figures decreased by 0.3%, and 0.2% over the past 12-months. This confirms the state of a shallow recession and the need for stimulation. The data, combined with a cooling labor market and a steady decline in inflation, increase the likelihood that the Bank of England will soon begin interest rate cuts. In the latest meeting the Bank of England representatives did not see any members vote for a hike. USA500 – The SNP500 Rises to New Highs, But Cannot Hold Onto Gains! The price of the SNP500 rises to an all-time high, before correcting 0.33% and ending the day slightly lower than the open price. Nonetheless, the index performs better than the NASDAQ which came under pressure from Tesla, Meta and Apple which hold a higher weight compared to the SNP500. For the SNP500, these 3 stocks hold a weight of 9.25%, whereas the 3 stocks make up 14.63% of the NASDAQ. The SNP500 is also supported by ExxonMobil’s gains due to higher energy prices. The market will remain closed on Friday due to Easter. However, the market will reopen on Monday for the US and investors can expect high volatility. Investors will also need to take into consideration how the PCE Price Index and the changed value of the US Dollar is likely to affect the stock market next week. Always trade with strict risk management. Your capital is the single most important aspect of your trading business. Please note that times displayed based on local time zone and are from time of writing this report. Click HERE to access the full HFM Economic calendar. Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE! Click HERE to READ more Market news. Michalis Efthymiou Market Analyst HFMarkets Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • MT4 is good and will be good until their parent company keep updating the software, later mt4 users will have to switch to mt5.
    • $SOUN SoundHound AI stock at 5.91 support area , see https://stockconsultant.com/?SOUN
    • $ELEV Elevation Oncology stock bull flag breakout watch , see https://stockconsultant.com/?ELEV
    • $AVDX AvidXchange stock narrow range breakout watch above 13.32 , see https://stockconsultant.com/?AVDX
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.