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>By the way: Grizz, would you mind telling us where that you did find
>your code(s)? Thanks a lot!
praktikus and all,
I find nearly all of the codes that I don't create myself at one of
these sites:
http://eis.pl/kr/AFM/index-en.html
look under K for Kaufman
www.guppytraders.com/Metastock%20Formulas/formula%20index.htm
look under A for adaptive moving average.
Many thanks for the explanation. I think I see the light. I'm going
to go play with it for a while to see if I can better understand what
is going on there.
Grizz
--- In equismetastock@xxxx, "praktikus_ms" <mluescher@xxxx> wrote:
> Grizz
>
> Her is what Kaufman says in his book:
>
> Basic Buy and Sell Signals
> --------------------------
>
> The trading rules for the AMA are:
>
> - Buy when the AMA turns up.
>
> - Sell when the AMA turns down.
>
> ...
>
>
> A Filter for False Signals
> --------------------------
>
> A filter is nneded for any trending system to avoid false signals
> caused by noise when prices are moving sideways. During a
> nondirectional period, prices will move back and forth trough the
> smoothed trendline value. This affects all moving average systems
in
> the same way, but it is more obvious with faster trends. The
> trendline must move higher or lower by the amount of the filter to
> qualify for a trading signal. ...
>
> Self-Adjusting filter:
> To be consistent with the adaptive nature of the system, the filter
> will be also get larger and smaller when prices become more or less
> volatile. To accomplish this, the filter is defined as a small
> percentage of the changes in the AMA-Trendline:
>
> filter = percentage x @std_dev(AMA - AMA[1],n)
>
> where percentage is the percentage of 1 standard deviation,
> @std_dev(series,n) is the standard deviation of "series over
n
> periods", and
> AMA - is the 1 day change in the AMA trendline.
>
> The smallest filter percentages of 0.01 can be used for faster
> trading, while the larger percentages of 1.0 select those trades
that
> have had a more significant price move. ... Normally the filter is
> calculated over a period of 20 days.
>
> ...
>
> Because a slow trend change may result in a series of days wich
fail
> to penetrate the filter, the net change over 1 to three days is
> substituted for a sigle day.
>
> The new rules for trading signals are
>
> - Buy when AMA - @lowest(AMA,n) > filter
>
> - Sell when @highest(AMA,n) - AMA > filter
>
>
> Grizz, as you can see Kaufman uses 10 periods for the AMA itself
and
> 20 periods for the filter. From this text I made the following
system:
>
> ------------------------------------------
> {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)))
> -------------------------------------------
>
> The periods in {ama} are set to 10, the periods in the filter are
set
> to 20. I guess my system is anything else than overwhelming but
for
> my excuse please consider:
>
> - I'm Swiss so I have to translate the idea to German
> - my knowledge of Tradestation code (what I guess the "@" comes
from)
> is even worse than for MS
> - after all I tried to code what I understood of Kaufmans ideas
>
> Once coded the system showed profits so my guess was it couldn't be
> to far from the original thoughts ;-) !
>
> Hope this helps to bring some light to this topic. :-)
>
>
> By the way: Grizz, would you mind telling us where that you did
find
> your code(s)? Thanks a lot!
>
> @ Preston: Thank you very much for sharing your knowledge with me
> (us). I played with your sample of the AMA that you posted some
days
> ago. To me it looks great on the chart :-). I then tried it to use
> with the same system as described above but it didn't show as much
> profit as mine :-(. That doesn't mean one of them is better or
not.
>
> praktikus
>
> --- In equismetastock@xxxx, "grizz003" <grizz002@xxxx> wrote:
> > 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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