Adaptive Moving Average

[nansen]

Hello All,

I have been doing some research into the Adaptive Moving Average (AMA, or KAMA) as developed by Perry Kaufman and as described in his book “Smarter Trading” (page 140, for those who have the book).

I have replicated the formula in Excel and, if possible, I would like someone to check my workings – essentially, the results that I am getting don’t seem “quite right” when compared to, say, an exponential average....I must have missed something.

I have trawled through various Google searches for the formula and calculations : ideally, I would like to compare my workings with someone who has also replicated the formula in Excel.

Any takers?

Best wishes,

nansen.

 

[xebectrader]

What is the Formula ?

 

[t2wfx]

Isn't using moving averages kinda "laggy"?

 

[swandro]

Here is a suggestion for you. I often develop studies in Excel and to prove that my calculations are correct, I compare the results to the output from SierraChart.

This is how to do it: Download SierraChart, I believe you can use it for free if you do not want the real-time updating. Open a chart and add the AMA study. Now add a worksheet study and in the parameters, specify that you want to use Excel (if you don't do this, it will create a spreadsheet using an internal format, which is no use to you.

For the worksheet name, specify the name of your workbook that contains your own AMA. What happens is that SC outputs the data (OHLC and date/time) in to columns A to E and then it outputs its AMA values in column AA. If you put your AMA values in a column further to the right, you can then do a direct comparison of their values to yours (for example, you could put a formula like aa3=bb3 in a column, and you would then look for non-zero values in the column to find any mismatches).

Alternatively, you could make SC draw your AMA on the chart by putting the values in column K onwards. You could then eyeball the difference between theirs and yours on the chart.

As I say, I do this a lot. I built the Hull MA in Excel and compared it to SC and it was spot on.

Hope this helps.

 

[lbranjord]

Isn't using moving averages kinda "laggy"?

Yes, trading the crossover of moving averages is worthless.

It's when the trend is respecting the sloping moving average that you can use it. They help you find good dips in the trend. Also, if you see a moving average pierced by a pin bar, you know the contrarians were able to draw blood and may soon be back for more. It's a warning about the strength of the current trend.

Thats how I use MA's, they are vital to my analysis. actually, they represent about 99.9% of my analysis.