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The formulas are both the same. To optimize set Periods:=opt1; No
magic here. Forget the Equis version. It's a fixed value version
that's inflexible.
Watchout for optimizing. Optimizing doesn't solve many problems and
in general, creates way more hidden problems than it solves. The
problems are hidden because the newbie's don't read and don't know
what to watch out for. Optimizing is good for calculating the
robustness of a system, and for comparing one kind of system to
another in that regard. But curve fit quickly sets in that takes away
any advantage of optimizing.
The AMA is like any other moving average: if you try to trade with
it, you'll get whipsawed to death. Even Kaufman acknowledges this. He
suggests using a trade filter that requires the difference between
the current AMA and the previous AMA to be greater than X% of the Std
Dev of the difference. It helps, but it still produces too many
whipsaw trades.
I like the AMA and use it for a variety of things. I've written an
adaptive trailing stop based on Kaufman's approach to the AMA, and I
use the AMA on charts occasionally. I find that for short term
trading a value of 10 is good and for long range trading 30 is good.
The AMA is also effective in identifying periods of price
consolidation and noise when it flattens out.
Every chart needs one or more moving averages on it. There are lots
to chose from. However, every chart needs a filtering system to
prevent as many whipsaw trades as possible.
Have fun!
--- In Metastockusers@xxxxxxxxxxxxxxx, "jim" <jimk_30045@xxxx> wrote:
>
> I have tried to Optimize the AMA below...Either version...Has
anyone
> done this and what do you set your parameters to...I will work with
> anyone interested in doing this.....thanks....Jim
>
>
>
> Equis Version...
>
> Sig:=If(Cum(1)=5,Ref(C,-1)+(Pwr((Abs((C-Ref(C,-4))/Sum(Abs(ROC
> (C,1,$)),4)))*((2/3)-(2/31))+(2/31),2))*(C-Ref(C,-1)),PREV+(Pwr((Abs
> ((C-Ref(C,-4))/Sum(Abs(ROC(C,1,$)),3)))*((2/3)-(2/31))+(2/31),2))*
(C-
> PREV));
>
> Sig>Ref(Sig,-1)
>
> Kaufmann Version...
>
>
> 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));
> AMA
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