blackcat1402

[blackcat] L2 Perry Kaufman Adaptive MA (KAMA)

Level: 2

Background

Kaufman’s Adaptive Moving Average ( KAMA ) was developed by American quantitative financial theorist Perry J. Kaufman in 1998. The technique began in 1972 but Kaufman officially presented it to the public much later through his book, “Trading Systems and Methods.” Unlike other moving averages, Kaufman’s Adaptive Moving Average accounts not only for price action but also for market volatility . KAMA is a moving average that takes into account market noise or volatility . KAMA will closely track prices when price fluctuations are relatively small and noise is low. KAMA will adapt to increasing price fluctuations and track prices from a greater distance. This trend following indicator can be used to identify the overall trend, time turning points and to filter price movements.


Function

You can use KAMA like any other trend-following indicator, such as a moving average. You can look for price crosses, directional changes and filtered signals. First, a cross above or below KAMA indicates directional changes in prices. As with any moving average, a simple crossover system will generate lots of signals and lots of whipsaws. Second, You can use the direction of KAMA to define the overall trend for a security. This may require a parameter adjustment to smooth the indicator further. You can change the fastline and slowline parameters to smooth KAMA and look for directional changes. The trend is down as long as KAMA is falling and forging lower lows. The trend is up as long as KAMA is rising and forging higher highs. Finally, You can combine signals and techniques. You can use a longer-term KAMA to define the bigger trend and a shorter-term KAMA for trading signals.

I have included in the indicator an input named "EnableSmooth" that allows you to determine if the KAMA line should be smoothed or not. A "True" as the input value smoothes the calculation. An "False" simply plots the raw KAMA line. When market volatility is low, Kaufman’s Adaptive Moving Average remains near the current market price, but when volatility increases, it will lag behind. What the KAMA indicator aims to do is filter out “market noise” – insignificant, temporary surges in price action. One of the primary weaknesses of traditional moving averages is that when used for trading signals, they tend to generate many false signals. The KAMA indicator seeks to lessen this tendency – generate fewer false signals – by not responding to short-term, insignificant price movements. Traders generally use the moving average indicator to identify market trends and reversals.


Key Signal

AMAValF --> KAMA Fast Line.
AMAValS --> KAMA Slow Line.

Remarks

This is a Level 2 free and open source indicator.

Feedbacks are appreciated.
开源脚本

本着真正的TradingView精神,该脚本的作者将其开源发布,因此交易者可以理解和验证它。为作者加油! 您可以免费使用它,但是在发布中重复使用此代码受网站规则的约束。您可以收藏它以在图表上使用。

想在图表上使用此脚本?
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评论

insane indicator, top notch style and signals! THANK YOU
+2 回复
VERY NICE. this indicator gives nearly identical signals as the TBO (which I paid a grip for access along with a 3Commas course) .... I would love however, to use an early exit warning signals with the AMA lines... I don't expect you to re-make it with those alerts, but I'd appreciate it if you would tell me which Moving Avg/input you used for them... thanks
+1 回复
blackcat1402 practicalLeade55036
@practicalLeade55036, different tf and trading pair may require diffenent settings, you can use backtest to optimize them.
+1 回复
Another moving average to add to my function library, thanks ;)
The AMAF function doesn't seem to be used at all though?
+1 回复
blackcat1402 AtomOfScent
@AtomOfScent, yes, you are sharp eyes. because original work have this func to produce long and short signal, i just reserve it there. However, I found entry signal via AMAF is in poor quality. I gave it up and use my own way.
+1 回复
AtomOfScent blackcat1402
@blackcat1402, thanks for clarifying.
+1 回复
Top of the line and thanks for sharing. More blessings to you!
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Another good indicator keep up the great work ..thanks!
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