KAMA - Kaufman Adaptive Moving Average for Amibroker (AFL)

phester

about 14 years ago

Amibroker (AFL)

Kaufman Adaptive Moving Average – Uses Efficiency Ratio

Developed by Perry Kaufman, Kaufman’s Adaptive Moving Average (KAMA) is a moving average designed to account for market noise or volatility. KAMA will closely follow prices when the price swings are relatively small and the noise is low. KAMA will adjust when the price swings widen and follow prices from a greater distance. This trend-following indicator can be used to identify the overall trend, time turning points and filter price movements.

Indicator / Formula

//KAMA

LBPeriods = Param( "LB Periods", 10, 1, 200, 1 );

FSCPeriods = Param( "FSC Periods", 2, 1, 200, 1 );

SSCPeriods = Param( "SSC Periods", 30, 1, 200, 1 );

FastSmoothConst = 2 / ( FSCPeriods + 1 );

SlowSmoothConst = 2 / ( SSCPeriods + 1 );

Direction = abs( Close - Ref( Close, -LBPeriods ) );

Volatility = Sum( abs( Close - Ref( Close, -1 ) ), LBPeriods );

EfficiencyRatio = Direction / Volatility;

SC = ( EfficiencyRatio * ( FastSmoothConst - SlowSmoothConst ) + 
SlowSmoothConst ) ^ 2;

KAMA = AMA( Close, SC );

Plot( KAMA, "KAMA", ParamColor( "Color", colorYellow ), styleLine );

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