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>In the latest issue of Stocks & Commodities, Perry Kaufman talks about
>his AMA. I am interested in this trading system and wonder if anyone has
>put this into a trading system and as an indicator for SuperCharts 4.0?
>Also, any comments relative to this system would be much appreciated. By
>the way, Happy New Year! Steve
The Kaufman AMA ela file is attached. It is coded as a function called "_AMA"
Bob Fulks
{***********************************************************
Name : Adaptive Moving Average Function
Notes: From "Smarter Trading" by Kaufman
Desc : An exponential moving average in which the smoothing
factor varies with the "efficiency ratio". Efficiency
ratio is the ratio of total price excursion divided by
the sum of all individual excursions of each bar. It
equals 1.0 if all moves are in one direction over the
lookback period.
By: Bob Fulks based upon code and descriptions in
Kaufman's book with:
> Price input added
************************************************************}
Inputs: Price(NumericSeries), {Price which is averaged}
Period(NumericSimple); {Lookback period}
Vars: Noise(0), {Sum all individual excursions}
Signal(0), {Total excursion over period}
Diff(0), {Individual price excursions}
EfRatio(0), {Efficiency Ratio}
Smooth(1), {Smoothing factor}
Fastend(0.666), {Shortest smoothing}
Slowend(0.0645), {Longest smoothing}
AMA(0); {Adaptive Moving Average}
Diff = AbsValue(Price - Price[1]);
if CurrentBar < Period then
AMA = Price
else begin
Signal = AbsValue(Price - Price[Period]);
Noise = Summation(Diff, Period);
EfRatio = IFF (Noise <> 0, Signal / Noise, 0);
Smooth = Power(EfRatio * (Fastend - Slowend) + Slowend, 2);
AMA = AMA[1] + Smooth * (Price - AMA[1]);
end;
_AMA = AMA;
--
Bob Fulks
bfulks@xxxxxxxxxxxx
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