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Grizz
Good luck on your discovery :-)! And thank you for the links.
praktikus
--- In equismetastock@xxxx, "grizz003" <grizz002@xxxx> wrote:
> >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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