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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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