everget

Bryant Adaptive Moving Average

@ChartArt got my attention to this idea.

This type of moving average was originally developed by Michael R. Bryant (Adaptrade Software newsletter, April 2014). Mr. Bryant suggested a new approach, so called Variable Efficiency Ratio (VER), to obtain adaptive behaviour for the moving average. This approach is based on Perry Kaufman' idea with Efficiency Ratio (ER) which was used by Mr. Kaufman to create KAMA .

As result Mr. Bryant got a moving average with adaptive lookback period. This moving average has 3 parameters:
  • Initial lookback
  • Trend Parameter
  • Maximum lookback

The 2nd parameter, Trend Parameter can take any positive or negative value and determines whether the lookback length will increase or decrease with increasing ER.

Changing Trend Parameter we can obtain KAMA' behaviour
To learn more see http://www.adaptrade.com/Newsletter/NL-AdaptIndicators.htm
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