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--- In equismetastock@xxxx, "robert@xxxx" <robert@xxxx> wrote:
> praktikus:
>
> Could you give some detail on the adaptive moving average
> that you are using? Did you write some Metastock code for
> it? Would you mind sharing it?
>
> Thanks.
>
> Bob
Hello Bob
First let me explain the adaptive moving average (ama)to all those
not familiar with it. The original design belongs to Perry Kaufman.
Adaptive means that the periods of this moving average (ma) are not
fixed as it is normally. The period-lenght is allowed to adjust
itself (done by a smoothing constant) from slow (486 periods) to fast
(30 periods), according to the market noise. So if there is a lot of
noise and not much of price action (higher or lower) the ama turns
almost flat.
The real idea behind the tradingsystem with the ama is that Kaufman
doesn't look for crosses or else, he is just watching the change and
direction in the ama-trendline (wether it's up or down). To prevent
too many whipsaws, he uses a self-adjusting filter to get buy or sell
signals.
I did som MS-coding, but I know for sure that there are a lot of
people around who are a lot smarter programming MetaStock than I am.
So if there are ways to improve my MS-Language let me know, Im always
eager to learn more and sharpen my skills.
The following system works quite well (maybe not in every market
environment but pretty well with European bonds). There is one point
where I think the system is not doing what it is supposed to do: if
the system is long and turns short and the long signal is still
= "true"(and vice versa). Now when the signal turns from "true"
to "not true", my system enters long again. After inspecting many of
those "false" trades, I was surprised that they often produced a
gain. It seems that the system catches some retracement-moves even if
it was not designed for that.
-----------------------------
{ama}
Direction:=CLOSE - Ref(CLOSE,-10);
Volatility:=Sum(Abs(ROC(CLOSE,1,$)),10);
ER:=Abs(Direction/Volatility);
FastSC:=2/(2+1);
SlowSC:=2/(30+1);
SSC:=ER*(FastSC-SlowSC)+SlowSC;
Constant:=Pwr(SSC,2);
If(Cum(1)=10+1,Ref(CLOSE,-1)+constant*(CLOSE-Ref(CLOSE,-
1)),PREV+constant*(CLOSE-PREV));
{enter long}
(Fml( "ama") - LLV( Fml("ama"), 10))
> (opt1*
( Stdev( Fml("ama") - Ref(Fml( "ama"),-1) , 20)))
{enter short}
(HHV( Fml("ama"), 10)- Fml( "ama"))
> (opt1*
( Stdev( Fml("ama") - Ref(Fml( "ama"),-1) , 20)))
-----------------------
For opt1 you can insert 0.01 (equals faster trades) to 1.00 (for
larger moves). It helps also to try out different stop-methods (when
to get out seem to me to be even more important than the entry).
praktikus
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