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Name : Adaptive Moving Average Indicator
Notes: From "Smarter Trading" by Kaufman
Desc : An exponential moving average in which the smoothing
factor varies with the "efficiency ratio". Efficiency
ratio is the ratio of total price excursion divided by
the sum of all individual excursions of each bar. It
equals 1.0 if all moves are in one direction over the lookback
period.
By: Ir. Yuwono Th., translated into MSWIN 6.0 formulas from
Bob Fulks' ELA based upon code and descriptions in Kaufman's book
_diff
Abs(C-Ref(C,-1)) {Individual price excursions}
_signal
Abs(C-Ref(C,-10)) {Total Excursion over period}
_noise
Sum(Fml("_dif"),10) { Sum all individual excursions}
_efratio
Fml("_signal")/Fml("_noise") {Efficiency Ratio}
_smooth
Power(Fml("_efratio")*(0.666-0.0645)+0.0645, 2)
{Shortest smoothing=0.666, Longest
smoothing=0.0645}
_AMA
PREV + Fml("_smooth")*(C-PREV)
Notes: These are constructed using 10 periods, you can alter this
by replacing every entry of 10 with the desired time period.
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