Kaufman's Adaptable Moving Average

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Demon

Kaufman's Adaptable Moving Average

Post by Demon » Thu Jul 03, 2003 8:32 am

Has anybody spent any time researching this indicator? I have'nt got round to it yet, but it is the next thing on my list. My initial concern is that although in theory it sounds very appealing - ie keeps you out of sideways markets, I'm concerned about over-optimisation.

Jason Czech
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Post by Jason Czech » Thu Jul 03, 2003 9:35 am

The KAMA is described in detail in Perry's book "Smarter Trading". I played around with it a bit in a simple MA crossover system (using it as the short-term MA), but didn't see the results improve significantly over using EMA. It's been over a year since I read that book, but I think Mr. Kaufman suggested using KAMA as a single MA rather than in a crossover system, and buying whenever it turned positive over a 9-14 day period. So perhaps using it in this way would give better results.

Thinking of that, I'd like to re-read the book now. It seemed to contain some interesting ideas on backtesting.

Jason

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Post by damian » Thu Jul 03, 2003 9:48 am

I also found that any value in KAMA came from using it in a different manner than a normal MA. Infact, many traditional MA applications of KAMA gave more whipsaw trades due to its 'in the middle of the data' quality during some sideways periods.

Demon

Post by Demon » Thu Jul 03, 2003 10:12 am

Thanks for the replies. I wasn't really thinking of using it for ma crossovers but was thinking more towards trading bands. Anyone any thoughts?

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Post by MCT » Fri Aug 22, 2003 4:56 pm

Anyone any thoughts?
I spent quite a bit of time testing AMA, and it seems to improve on most system stats. I used it effectively during my purely mechanical trendfollowing days. Nonetheless, I settled on a “pureâ€

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Post by Chris Murphy » Tue Aug 26, 2003 2:29 pm

Could anyone please post how to calculate KAMA?

Thanks,

Chris

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Post by Jason Czech » Tue Aug 26, 2003 2:39 pm


MCT
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Post by MCT » Tue Aug 26, 2003 5:52 pm

Check out "Smarter Trading" by Kaufman. it's a great read and a must have.

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Post by Mike » Wed Aug 27, 2003 12:00 am

"Smarter trading" is a very good book and has lots of thought-provoking ideas.

The concept behind Kaufman's AMA is interesting - using market efficiency to adjust a MA speed. I wrote a few systems using it as Kaufman suggests and some other ways. Using it as Kaufman says didn't test well. I came to the conclusion trading the turns in the AMA doesn't add value beyond other traditional simple or exponential MA systems. That approach suffers from as much (or more) lag and whipsaw trades as other traditional MA systems.

One system has shown some promise. It uses range exspansion with a close over/below the AMA to setup a trade, with the next bar taking out the high/low for actual entry. With a couple different exits - including profit taking as Kaufman suggests in his book - the test results were good. The number of parameters and rules have me somewhat concerned, even though they are "robust". But I believe the true test of a system is to trade it, so I am. I'm currently trading it on 30 minute S&P bars in my "test account". I've been trading it for only 6 weeks and am currently ahead - but not much.

Thanks for a good, informative forum c.f..

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Post by Kiwi » Wed Aug 27, 2003 12:32 am

Judging by the complaints I've been seeing by discretionary SP players not much is reasonable performance at present. You might try it on 30 year TBonds which have enough liquidity and much greater range at present. Then go back to ES when it gets a bit more movement.

John

Demon

Post by Demon » Thu Aug 28, 2003 6:49 am

Still haven't had chance to go any further with this one yet. Anyone coded this into Recipes? I haven't tried yet but I can't imagine there should be any considerable problems. Best of luck Mike, please keep us posted.

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