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Adaptive Moving Average (AMA)

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    Adaptive Moving Average (AMA)

    This moving average type is one of the few we're missing. I thought I'd post the formula in case anyone felt like giving it a shot. I would but its slightly beyond my ability at the moment.

    The Description . . .
    This moving average moves slowly when prices are moving sideways and moves swiftly when prices move swiftly. The basic rule is to buy when the AMA turns up, and sell when the AMA turns down.

    The Preferences . . .
    • AMA Period - Period used to calculate the Direction as seen in the formula above. (10 is recommended)
    • Fast SC Period - Period used to calculate the fast smoothing constant (2 is recommended)
    • Slow SC Period - Period used to calculate the slow smoothing constant (30 is recommended)
    The Formula . . .
    Direction = Price - price(n)
    ; where n = AMA Period
    Volatility = Sum(abs(price - price[1], n)
    Effeciency Ratio (ER) = Direction / Volatility
    Fast Smoothing Constant (FastC) = 2/(p + 1)
    ; where p = FSC Period
    Slow Smoothing Constant (SlowC) = 2/(q + 1)
    ; where q = FSC Period
    Scaled Smoothing Constant (SSC) = ER(FastC - SlowC) + SlowC
    c = SSC*SSC
    AMA = AMA[1] + c(price - AMA[1])

    #2
    should 'q' equal the SSC period?...since 'p' already equals the FSC period

    Comment


      #3
      I'm not sure, I just copied the formula from a website I found. You may be right.

      Comment

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