| StockFetcher Forums · General Discussion · Kaufman Adaptive Moving Average (KAMA) | << >>Post Follow-up |
| snappyfrog 749 posts msg #160564 - Ignore snappyfrog |
9/20/2023 8:26:06 AM Would anyone like to try their hand at coding this? This is from stockcharts. I don't see that ToS offers it. ER = Change/Volatility Change = ABS(Close - Close (10 periods ago)) Volatility = Sum10(ABS(Close - Prior Close)) Volatility is the sum of the absolute value of the last ten price changes (Close - Prior Close). SC = Smoothing Constant SC = [ER x (fastest SC - slowest SC) + slowest SC]2 SC = [ER x (2/(2+1) - 2/(30+1)) + 2/(30+1)]2 Current KAMA = Prior KAMA + SC x (Price - Prior KAMA) https://school.stockcharts.com/doku.php?id=technical_indicators:kaufman_s_adaptive_moving_average |
| sr7 163 posts msg #160569 - Ignore sr7 |
9/21/2023 3:54:03 PM Actually, I think they tried twice --- 2 attempts at creating a scan here on the forums, way back then. But it didn't look lik the KAMA on Stockcharts.com, plus you couldn't overlay it on the stock price. I think the reason was because it's Adaptive, that's why it's called the Kaufman's Adaptive Moving Average (KAMA). I could be wrong about that... ..first attempt in 2006 --- 17 years ago: A need for "smart" indicators second attempt in 2007: Adaptive Moving Average |
| styliten 331 posts msg #160571 - Ignore styliten |
9/21/2023 8:15:32 PM There are 3 issues with Kaufman: Kaufman's Adaptive Moving Average (KAMA) 
The values in the FAST and SLOW columns were incidentally switched: FAST = 2 periods, = 2/(2+1) = 0.666667 SLOW = 30 periods, = 2/(30+1) = 0.064516 This is easy fix. The second issue is relatively minor: "Step 3: KAMA With the Efficiency Ratio (ER) and Smoothing Constant (SC), we are now ready to calculate Kaufman's Adaptive Moving Average (KAMA). Since we need an initial value to start the calculation, the first KAMA is just a simple moving average . The following calculations are based on the formula below." The third issue is that SF filter can NOT be recursive, i.e., KAMA = KAMA 1 day ago + SC is not allowed at all. Hence, the closest thing SF would allow is this: Due to limitation #3 above, ema(10) 1 day ago was the closest thing for KAMA 1 day ago . |
| Mactheriverrat 3,173 posts msg #160572 - Ignore Mactheriverrat |
9/21/2023 10:18:29 PM Thanks styliten!!!!!! |
| dtatu 143 posts msg #160579 - Ignore dtatu modified |
9/23/2023 4:17:43 PM Sincerely,I think the KAMA is useless in practice.The entry and exit signal can only be taken once there is a horizontal breakout from a range ( which is reflected in the horizontal KAMA), so then, one should better use a range breakout tool (Donchian ,etc) |
| snappyfrog 749 posts msg #160580 - Ignore snappyfrog |
9/23/2023 8:57:01 PM Thanks sr7 and styliten. |
| styliten 331 posts msg #160581 - Ignore styliten modified |
9/23/2023 10:25:03 PM @ all, Made a slight modification to mimic the real KAMA more closely: due to SF limitations, can't declare another variable for the sum(sum(KAMA, 5), 5) divided by 25 part. As a result, no filter can be written on this in SF either. (Feel free to do your own verification and adjust the parameters in the double SUM accordingly, such as: sum(sum(KAMA, 6), 6) divided by 36 .... sum(sum(KAMA, 5), 10) divided by 50, etc., etc. ) DOW: 
SF KAMA on DOW: 
HON: 
SF KAMA on HON: 
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| StockFetcher Forums · General Discussion · Kaufman Adaptive Moving Average (KAMA) | << >>Post Follow-up |