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Adaptive Moving Average System
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| Added: November 11, 2006 |
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The adaptive moving average that was discussed in the interview with Perry Kaufman
in the 1998 STOCKS & COMMODITIES Bonus Issue (the article originally appeared
in March 1995) is an excellent alternative to standard moving average calculations.
In this month's Traders' Tips, I will present two Easy Language studies and
an Easy Language system that are based on the adaptive moving average.
The adaptive moving average calculation that is used in the studies and system
in TradeStation or SuperCharts is performed primarily by a function referred
to as "AMA." Another function referred to as "AMAF" is used
to calculate the adaptive moving average filter. As always, the functions should
be created prior to the development of the studies/system.
This code is also available at Omega Research's Web site. The name of the file
is "AMA.ELA." Please note that all Traders' Tips analysis techniques
posted at Omega Research's Web site can be utilized by both TradeStation and
SuperCharts. Whenever possible, the posted analysis techniques will include
both Quick Editor and Power Editor formats.
-- Gaston Sanchez, Omega Research
800 422-8587, 305 270-1095
Internet: http://www/omegaresearch.com
Code:
Type: Function, Name: AMA
Inputs: Period(Numeric);
Vars: Noise(0), Signal(0), Diff(0), efRatio(0), Smooth(1), Fastest(.6667), Slowest(.0645),
AdaptMA(0);
Diff = AbsValue(Close - Close[1]);
IF CurrentBar <= Period Then AdaptMA = Close;
IF CurrentBar > Period Then Begin
Signal = AbsValue(Close - Close[Period]);
Noise = Summation(Diff, Period);
efRatio = Signal / Noise;
Smooth = Power(efRatio * (Fastest - Slowest) + Slowest, 2);
AdaptMA = AdaptMA[1] + Smooth * (Close - AdaptMA[1]);
End;
AMA = AdaptMA;
Type: Function, Name: AMAF
Inputs: Period(Numeric), Pcnt(Numeric);
Vars: Noise(0), Signal(0), Diff(0), efRatio(0), Smooth(1), Fastest(.6667), Slowest(.0645),
AdaptMA(0), AMAFltr(0);
Diff = AbsValue(Close - Close[1]);
IF CurrentBar <= Period Then AdaptMA = Close;
IF CurrentBar > Period Then Begin
Signal = AbsValue(Close - Close[Period]);
Noise = Summation(Diff, Period);
efRatio = Signal / Noise;
Smooth = Power(efRatio * (Fastest - Slowest) + Slowest, 2);
AdaptMA = AdaptMA[1] + Smooth * (Close - AdaptMA[1]);
AMAFltr = StdDev(AdaptMA-AdaptMA[1], Period) * Pcnt;
End;
AMAF = AMAFltr;
The "MovAvg Adaptive Fltr" system below is based on the rules set
forth for entries based on the filtered adaptive moving average calculation.
Type: System, Name: Adaptive Moving Average Fltr System
Inputs: Period(10), Pcnt(.15);
Vars: AMAVal(0), AMAFVal(0), AMALs(0), AMAHs(0);
AMAVal = AMA(Period);
AMAFVAl = AMAF(Period, Pcnt);
IF CurrentBar = 1 Then Begin
AMALs = AMAVal;
AMAHs = AMAVal;
End Else Begin
IF AMAVal < AMAVal[1] Then
AMALs = AMAVal;
IF AMAVal > AMAVal[1] Then
AMAHs = AMAVal;
IF AMAVal - AMALs Crosses Above AMAFVal Then
Buy This Bar on Close;
IF AMAHs - AMAVal Crosses Above AMAFVal Then
Sell This Bar on Close;
End;
The second indicator, "Mov Avg Adaptive Fltr," takes the filtering
concept and applies it to an indicator. Based on the filtered adaptive moving
average (AMAF) parameters, this indicator will plot a vertical blue or red line,
depending on the condition that is met. The values reflected by the vertical
lines reflect the value of the AMA filter calculation. Some suggested format
settings are given after the indicator code.
Type: Indicator, Name: Adaptive Moving Average Fltr System
Inputs: Period(10), Pcnt(.15);
Vars: AMAVal(0), AMAFVal(0), AMALs(0), AMAHs(0);
AMAVal = AMA(Period);
AMAFVAl = AMAF(Period, Pcnt);
IF CurrentBar = 1 Then Begin
AMALs = AMAVal;
AMAHs = AMAVal;
End Else Begin
IF AMAVal < AMAVal[1] Then
AMALs = AMAVal;
IF AMAVal > AMAVal[1] Then
AMAHs = AMAVal;
IF AMAVal - AMALs Crosses Above AMAFVal Then
Buy This Bar on Close;
IF AMAHs - AMAVal Crosses Above AMAFVal Then
Sell This Bar on Close;
End;
Code to difficult? Find somebody to help you with coding here.
Author: Perry Kaufman
Source: http://www.traders.com
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