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Hi grizz
Yes that's exactly the same formula I'm using. I got mine originally
from a book called "New Trading Dimensions" by Florek but I'm not
sure at the moment wether it exists in english language or not.The
AMA-Formula I posted earlier was with periods set as 10 according to
the original rules in Kaufmans book "Smarter trading". Also the
periods for filtering the buy and sell signals is set to 20 for the
same reason.
In my opinion the idea of Kaufman souds quite logical to me and he
mentions to only adjust the filter. The worst that you can do to such
a system is overfitting the whole thing (guess what: I know what I'm
talking about 'cause I lost "some" money with a system that was close
to the "grail". Unfortunately just in one timeframe - the one it was
(over)optimised.
Got MS8.0 Pro on a second computer and I got different results than
with 7.02 EOD on the same data. Seems that I have tho check things
like order bias ect.
Happy trades
praktikus
--- In equismetastock@xxxx, "grizz003" <grizz002@xxxx> wrote:
> TO: Prakticus
>
>
> >For my own small piece of fortune I trade a moving average System
as
> >explained by Perry Kaufman in "Smarter Trading" (the adaptive
moving
> >average) with European bonds
>
> Prakticus,
> I was able find the AMA formula at:
> http://www.guppytraders.com/Metastock%20Formulas/formula%20index.htm
>
> Is this what you are using with good success? How are you using
it?
> This formula does look impressive...
> Grizz
>
> {Adaptive Moving Average by Perry Kauffman}
> {Described in S&C 06/1995 - Metastock ver 6.5 or higher}
>
> Periods := 10; Direction := CLOSE - Ref(CLOSE,-periods);
> Volatility := Sum(Abs(ROC(CLOSE,1,$)),periods);
> ER := Abs(Direction/Volatility);
> FastSC := 2/(2 + 1); SlowSC := 2/(30 + 1);
> SSC := ER * (FastSC - SlowSC) + SlowSC;
> Constant := Pwr(SSC,2);
> AMA := If(Cum(1) = periods +1, Ref(CLOSE,-1) + constant * (CLOSE -
Ref
> (CLOSE,-1)),
> PREV + constant * (CLOSE - PREV));
> AMA;
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