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Praktikus
I don't quite understand the buy-sell trigger that you are using. Are
you using an AMA10 crossover of the AMA20? Or something else?
Many thanks,
Grizz
By the way,
I found an Adaptive Moving Average Binary Wave that looks very
interesting.. Here it is:
{Kaufman's Adaptive Moving Average Binary Wave }
Periods := Input("Time Periods",1,1000, 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));
FilterPercent := Input("Filter Percentage",0,100,15)/100;
Filter := FilterPercent * Std(AMA - Ref(AMA,-1),Periods);
AMALow := If(AMA < Ref(AMA,-1),AMA,PREV);
AMAHigh := If(AMA > Ref(AMA,-1),AMA,PREV);
If(AMA - AMALow > Filter, 1 {Buy Signal},If(AMAHigh - AMA > Filter, -
1 {Sell Signal}, 0 {No_Signal}))
--- In equismetastock@xxxx, "praktikus_ms" <mluescher@xxxx> wrote:
> 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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