Traders' Roundtable

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.

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

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.

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?

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€

Could anyone please post how to calculate KAMA?

Thanks,

Chris

Chris,
Here are a couple of links that may help:

http://eis.pl/kr/ELZ/t-s-Adaptive_Movin ... ystem.html

http://www.traders.com/Documentation/FE ... s9803.html

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

"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..

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

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.