Adaptive Moving Average

---

Summary

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

Screen Shots

Usage

The adaptive moving average calculation that is used in the studies and system in TradeStation 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.

Once you have successfully created both functions, you can then create the two studies and the system. The first indicator displays the adaptive moving average line, with an optional twist. The twist is that the AMA line can be smoothed using linear regression. Thus, I have included in the indicator an input named “smooth” that allows you to determine if the AMA line should be smoothed or not. A “Y” as the input value smoothes the calculation. An “N” simply plots the raw AMA line. This indicator should be scaled to “Same as price data.”

The second indicator, “Mov Avg Adaptive Fltr,” takes the filtering concept and applies it to an indicator. Based on the filtered adaptive moving average (AMAF) parameters, this indicator will plot a vertical blue or red line, depending on the condition that is met. The values reflected by the vertical lines reflect the value of the AMA filter calculation.

Note that the following recommendations provide an excellent chart:
Plot1 should have a label of “Buy” be of type “Histogram” have a color of “Blue” and a line thickness of “Thinnest”
Plot2 should have a label of “Sell” be of type “Histogram” have a color of “Red” and a line thickness of “Thinnest”
Plot3 should have a label of “AMAFilter” be of type “Line” have a color of “Magenta” and a line thickness of “Thinnest”
A TradeStation workspace is included in the zip file for an example of usage.

Downloads

Please Register or Login To Download. Registration is Free.

Happy Trading!

Tags: Adaptive Moving Average, Perry Kaufman

115 Responses to “Adaptive Moving Average”

1. BETTY says:

   April 24, 2010 at 3:06 am

   Very good and nice share. Your knowledge is very good.

   Reply
2. Lyle Makino says:

   April 22, 2010 at 5:51 pm

   Really good write-up, this is very similar to a site that I have. Please check it out sometime and feel free to leave me a comenet on it and tell me what you think. I’m always looking for feedback.

   Reply
3. Candis Lebahn says:

   April 21, 2010 at 11:39 am

   This is a very good piece of writing, I discovered your site searching google for a similar subject matter and arrived to this. I couldnt discover to much alternative material on this summary, so it was good to find this one. I definitely will end up being back to look at some other articles that you have another time.

   Reply
4. ADX Adaptive Moving Average Combination – Free Stock Charting Indicators says:

   April 20, 2010 at 1:01 pm

   [...] but this is an original addition by TazaTek to instead of using the MA, we use Perry Kaufmans Adaptive Moving Average to provide a more robust [...]

   Reply
5. Kermit Borman says:

   April 19, 2010 at 5:27 pm

   I have read a few of the articles on your website now, and I really like your style of blogging. I added it to my favorites webpage list and will be checking back soon. Please check out my site as well and let me know what you think.

   Reply
6. Bell Tabios says:

   April 19, 2010 at 10:07 am

   Amazing site, where did you come up with the knowledge in this post? Im happy I found it though, ill be checking back soon to see what other articles you have.

   Reply
7. Catina Ro says:

   April 11, 2010 at 8:33 am

   This is a good blog, I was wondering if I could use this piece of writing on my website, I will link it back to your website though. If this is a problem please let me know and I will take it down right away.

   Reply
8. taylor lautner says:

   April 8, 2010 at 6:11 am

   hi there brilliant little blog site you got right here I use the matching theme on my website but for whatever odd reasons it seems to stream at a higher speed on your blog despite the fact that the one you have contains a bit more content material. Have you been getting any kind of plug ins or widgets which quicken it up? Do you think you could quite possibly have the widgets so maybe I might use these on my own webpage so twilight new moon supporters could watch twilight new moon online trailers and videos more easily I’d be thankful – thank you ahead of time

   Reply
9. facebook poker dude says:

   April 4, 2010 at 9:49 pm

   i wouldn’t have concluded this was handy a handful years back yet somehow it’s interesting the way age shifts the method by which you respond to various creative ideas, thank you for the write-up it is pleasing to see some thing sensible now and then in lieu of the routine rubbish mascarading as a blog on the net, i’m off to enjoy a few hands of facebook poker, cheers

   Reply
10. Emile Cherny says:

    January 22, 2010 at 5:12 pm

    I have a preference for employing automatic systems myself, but I can unquestionably accept the points you’re putting out here. You have more background and more valid insights than many of those who are writing about trading on the net. Thanks for the helpful comments.

    Reply