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Kaufman's Adaptive Moving Average (KAMA)

DSS of Advanced Kaufman AMA [Loxx]DSS of Advanced Kaufman AMA is a double smoothed stochastic oscillator using a Kaufman adaptive moving average with the option of using the Jurik Fractal Dimension Adaptive calculation. This helps smooth the stochastic oscillator thereby making it easier to identify reversals and trends. What is the double smoothed stochastic? The Double Smoothed Stochastic indicator was created by William Blau. It applies Exponential Moving Averages (EMAs) of two different periods to a standard Stochastic %K. The components that construct the Stochastic Oscillator are first smoothed with the two EMAs. Then, the smoothed components are plugged into the standard Stochastic formula to calculate the indicator. What is KAMA? Developed by Perry Kaufman, Kaufman's Adaptive Moving Average (KAMA) is a moving average designed to account for market noise or volatility . KAMA will closely follow prices when the price swings are relatively small and the noise is low. KAMA will adjust when the price swings widen and follow prices from a greater distance. This trend-following indicator can be used to identify the overall trend, time turning points and filter price movements. What is the efficiency ratio? In statistical terms, the Efficiency Ratio tells us the fractal efficiency of price changes. ER fluctuates between 1 and 0, but these extremes are the exception, not the norm. ER would be 1 if prices moved up 10 consecutive periods or down 10 consecutive periods. ER would be zero if price is unchanged over the 10 periods. What is Jurik Fractal Dimension? There is a weak and a strong way to measure the random quality of a time series. The weak way is to use the random walk index ( RWI ). You can download it from the Omega web site. It makes the assumption that the market is moving randomly with an average distance D per move and proposes an amount the market should have changed over N bars of time. If the market has traveled less, then the action is considered random, otherwise it's considered trending. The problem with this method is that taking the average distance is valid for a Normal (Gaussian) distribution of price activity. However, price action is rarely Normal, with large price jumps occuring much more frequently than a Normal distribution would expect. Consequently, big jumps throw the RWI way off, producing invalid results. The strong way is to not make any assumption regarding the distribution of price changes and, instead, measure the fractal dimension of the time series. Fractal Dimension requires a lot of data to be accurate. If you are trading 30 minute bars, use a multi-chart where this indicator is running on 5 minute bars and you are trading on 30 minute bars. Included -Toggle bar colors on/offf
Pine Script™ indicator
by loxx
1
Parabolic SAR of KAMA [Loxx]Parabolic SAR of KAMA attempts to reduce noise and volatility from regular Parabolic SAR in order to derive more accurate trends. In addition, and to further reduce noise and enhance trend identification, PSAR of KAMA includes two calculations of efficiency ratio: 1) price change adjusted for the daily volatility; or, 2) Jurik Fractal Dimension Adaptive (explained below) What is PSAR? The parabolic SAR indicator, developed by J. Wells Wilder, is used by traders to determine trend direction and potential reversals in price. The indicator uses a trailing stop and reverse method called "SAR," or stop and reverse, to identify suitable exit and entry points. Traders also refer to the indicator as to the parabolic stop and reverse, parabolic SAR, or PSAR. What is KAMA? Developed by Perry Kaufman, Kaufman's Adaptive Moving Average (KAMA) is a moving average designed to account for market noise or volatility. KAMA will closely follow prices when the price swings are relatively small and the noise is low. KAMA will adjust when the price swings widen and follow prices from a greater distance. This trend-following indicator can be used to identify the overall trend, time turning points and filter price movements. What is the efficiency ratio? In statistical terms, the Efficiency Ratio tells us the fractal efficiency of price changes. ER fluctuates between 1 and 0, but these extremes are the exception, not the norm. ER would be 1 if prices moved up 10 consecutive periods or down 10 consecutive periods. ER would be zero if price is unchanged over the 10 periods. What is Jurik Fractal Dimension? There is a weak and a strong way to measure the random quality of a time series. The weak way is to use the random walk index (RWI). You can download it from the Omega web site. It makes the assumption that the market is moving randomly with an average distance D per move and proposes an amount the market should have changed over N bars of time. If the market has traveled less, then the action is considered random, otherwise it's considered trending. The problem with this method is that taking the average distance is valid for a Normal (Gaussian) distribution of price activity. However, price action is rarely Normal, with large price jumps occuring much more frequently than a Normal distribution would expect. Consequently, big jumps throw the RWI way off, producing invalid results. The strong way is to not make any assumption regarding the distribution of price changes and, instead, measure the fractal dimension of the time series. Fractal Dimension requires a lot of data to be accurate. If you are trading 30 minute bars, use a multi-chart where this indicator is running on 5 minute bars and you are trading on 30 minute bars. Conclusion from the combined efforts explained above: -PSAR is a tool that identifies trends -To reduce noise and identify trends during periods of low volatility, we calculate a PSAR on KAMA -To enhance noise and reduction and trend identification, we attempt to derive an efficiency ratio that is less reliant on a Normal (Gaussian) distribution of price Included: -Customization of all variables -Select from two different ER calculation styles -Multiple timeframe enabled
Pine Script™ indicator
by loxx
2
IchiMAMA (Experimental)Goichi Hosoda's "Ichimoku Kinkō Hyō" is a widely used Trend Following indicator and can be defined as a "system" rather than an indicator. Published in the late 1960's, consisting of 5 lines. TenkanSen (Conversion Line) = of the last 9 bars KijunSen (Base Line) = of the last 26 bars SenkouSpanA (Leading Span A) = Average of Tenkan&KijunSen shifted -> 26 bars SenkouSpanB (Leading Span B) = of the last 52 bars ChikouSpan (Lagging Span) = Price shifted <- 26 bars On the other hand, Mesa Adaptive Moving Average developed by John Ehlers around early 2000's shows similarities with Hosoda's Tenkan and KijunSen using a different calculation method. For futher info: www.mesasoftware.com I find MAMA superior to TenkanSen and KijunSen in terms of crossing signals. Ichimoku: Thus, decided to replace TenkanSen and KijunSen of regular Ichimoku with MAMA&FAMA of Ehlers and calculated SenkouSpanA accordingly. SenkouSpanB and ChikouSpan stays the same as per Ichimoku's logic. (Periods are 30 by default for cryptocurrencies. If stocks then 26) IchiMAMA: This is purely experimental and educational. Hope you'll like it :) I'd like to thank @everget for MAMA&FAMA and @KivancOzbilgic for Ichimoku Kinkō Hyō and Volume Based Colored Bars
Pine Script™ indicator
by lucidreamer15
2
Kaufman's Adaptive Moving Average (KAMA) - Multi timeframeKaufman's Adaptive Moving Average (KAMA) KAMA was developed by Perry Kaufman to give better directions of short term market trends. Idea is similar to an EMA, but it makes adjustments to the smoothing factor by taking Market Noise into consideration. Levels of noise in KAMA is modelled using Kaufman's Efficiency Ratio . The problem with traditional of moving averages (ie. SMA/EMA) is that they are very sensitive to sudden price movements. Applications: - Less prone to false signals compared to other types of moving averages. When price suddenly surges or tanks, KAMA will lag behind telling us that the move is rather abnormal. - On the other hand, when volatility of price movements is low, KAMA will be close to the ranging candles with a slope approximate to zero. KAMA can be used for filtering out choppy markets. Other features: - Multi-timeframe. - Can visualize levels of market noise with background color mode turned on.
Pine Script™ indicator
by DojiEmoji
1
JC MAs: SMA, WMA, EMA, DEMA, TEMA, ALMA, Hull, Kaufman, FractalThe best collection of moving averages anywhere. I know, because I searched, couldn't find the right collection, and so wrote it myself! ------------------------------------------------------------------------------- Notable features that either aren't found anywhere else...or at least in one place: ------------------------------------------------------------------------------- • The "Triple Exponential Moving Average", is actually that mathematically - rather than "three seperate EMA graphs", as is commonly found on Trading View. • Includes exotic moving averages: Hull Moving Average (HMA), Kaufman's Adaptive Moving Average (KAMA), and Fractal Apaptive Moving Average (FrAMA). • Each moving average has its own user-definable averaging length in DAYS, rather than an abstract "length". This is respected even for different graphing resolutions, and different chart views - even for the more exotic MAs. • Days can be fractional. • A master time resolution ("Timeframe") is also user-definable. And unlike most other moving average charts, this won't affect the internal "length" variable (specified days are still respected), it only changes the graphing resolution. You can also specify to use chart's resolution - which, as you know, is not very useful for moving averages - yet so many moving average scripts on Trading View don't let you specify otherwise. • If every CPU cycle counts, you can set "days" to 0 to prevent a particular unneeded moving average from being calculated at all. • Includes a custom moving average that is unique, if you're looking for a tiny edge in TA to beat everyone else looking at the same stuff: a customizable weighted blend of SMA, TEMA, HMA, KAMA, and FrMA. (Note: The weights for these blends don't have to add up to 100, they will self-level no matter what they add up to.) • By default, the averages are color-coded according to rainbow order of light spectrum frequency, relative to approximate responsiveness to current price: Red (SMA) is the laziest, violet (FrAMA) is the most hyper, and green is in the middle. ------------------------------------------------------------------------------- Contains the following moving averages, in order of responsiveness: ------------------------------------------------------------------------------- • Simple Moving Average (SMA) • Arnaud Legoux Moving Average (ALMA) • Exponential Moving Average (EMA) • Weighted Moving Average (WMA) • Blend average of SMA and TEMA (JCBMA) • Double Exponential Moving Average (DEMA) • Triple Exponential Moving Average (TEMA) • Hull Moving Average (HMA) • Kaufman's Adaptive Moving Average (KAMA) • Fractal Apaptive Moving Average (FrAMA) Note: There are a few extreme edge cases where the graphs won't render, which are obvious. (Because they won't render.) In which case, all you need to do is choose a more sane master resolution ("Timeframe") relative to the timeframe of the chart. This is more about the limits of Trading View, than specific script bugs. ------------------------------------------------------------------------------- Includes reworked code snippets ------------------------------------------------------------------------------- • "Kaufman Moving Average Adaptive (KAMA)" by HPotter • "FRAMA (Ehlers true modified calculation)" by nemozny • Which in turn was based on "Fractal Adaptive Moving Average (real one)" by Shizaru
Pine Script™ indicator
by rareHeron59465
6
Ehlers Kaufman Adaptive Moving Average [CC]The Kaufman Adaptive Moving Average was created by Perry Kaufman and this is a variation of that original formula created by John Ehlers. I have included a side by side with an original script (blue line) done by @HPotter that shows that Ehlers version is slightly more reactive compared to the original version. I have included strong buy and sell signals in addition to normal ones and so darker colors are strong signals and lighter colors are normal ones. Buy when the line turns green and sell when it turns red. Let me know if there are any other scripts you would like to see me publish!
Pine Script™ indicator
by cheatcountry
6
Efficiency RatioThe efficiency ratio (ER) is described by Perry Kaufman in his book, Trading Systems and Methods. It works by measuring the momentum of the market, that is, the absolute change from the current price to a past price, and divides it by the volatility, which is the sum of the absolute changes of each bar. That makes this a bounded indicator, going from 0 to 100, like an oscillator. Higher values mean less noise, while lower values mean more. Eg.: if the market moves from 10.0 to 15.0 in a directional manner, with every bar up, the ER is going to be at 100. However, if it moves up and down, and goes all over the place until finally reaching 15.0, the ER is going to be at around 20. It is very difficult for the ER to be at zero, because that would require 0 volatility, which is almost impossible to occur. This indicator is useful when planning for trades. If you notice the ER being higher than average, you may choose to increase the position size, because that would mean that the market is directional and has less chance of a whipsaw.
Pine Script™ indicator
by EduardoMattje
2
[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.
Pine Script™ indicator
by blackcat1402
15
Advance AMA with Sylvain BandsMany traders believe that the moving averages are favorite tools and analysts have spent decades trying to improve moving averages partiularly the simple moving average. One way to address the disadvantages of moving averages is to multiply the weighting factor by a volatility ratio which is called Adaptive moving averages. This indicator uses an special adaptive moving averages which is developed by John Ehlers. The model adapts to price movement “based on the rate change of phase as measured by the Hilbert Transform Discriminator”. This method of adaptation features a fast and a slow moving average so that the composite moving average swiftly responds to price changes and holds the average value until the next bars close. In addition, the smoothed Volatility Bands were created by Sylvain Vervoort is included.
Pine Script™ indicator
by master-in-chart
7
KAMA Strategy - Kaufman's Adaptive Moving AverageThis strategy combines Kaufman's Adaptive Moving Average for entry with optional KAMA, PSAR, and Trailing ATR stops for exits. Kaufman's Adaptive Moving Average is, in my opinion, a gem among the plethora of indicators. It is underrated considering it offers a solution that intuitively makes a lot of sense. When I first read about it, it was a real 'aha!' moment. Look at the top, pink line. Notice how during trending times it follows the trend quickly and closely, but during choppy, non-trending periods, the KAMA stays absolutely flat? Interesting! To trade with it, we simply follow the direction the KAMA is pointing. Is it up? Go long. Is it down? Go short. Is it flat? Hold on. How does it manage to quickly follow real trends like a fast EMA but ignore choppy conditions that would whipsaw a fast EMA back and forth? It analyses whether recent price moves are significant relative to recent noise and then adapts the length of the EMA window accordingly. If price movement is big compared to the recent noise, the EMA window gets smaller. If price movement is relatively small or average compared to the recent noise, the EMA window gets bigger. In practice it means: The KAMA would be flat if a 20 point upwards move occurred during a period that has had, on average, regular 20 point moves BUT the KAMA would point up if a 20 point move occurred during a period that has, on average, had moves of only around 5 points. In other words, it's a slow EMA during choppy flat / quiet flat periods, and a fast EMA as soon as significant volatility occurs. Perfect! ----- The Strategy The strategy is more than just a KAMA indicator. It contains: KAMA exit (optional) ATR trailing stop loss exit (optional) PSAR stop loss exit (optional) KAMA filter for entry and exits All features are adjustable in the strategy settings The Technical Details: Check out the strategy's 'Inputs' panel. The buy and sell signals are based on the 'KAMA 1' there. KAMA 1: Length -- 14 is the default. This is the length of the window the KAMA looks back over. In this instance, it c KAMA 1: Fast KAMA Length -- 2 is the default. This is the tightest the EMA length is allowed to get. It will tend towards this length when volatility is high. KAMA 1: Slow KAMA Length -- 20 is the default. This is the biggest the EMA length is allowed to get. It will tend towards this length when volatility is low. KAMA Filter The strategy buys when the KAMA begins to point up and sells when the KAMA points down. Generally, the KAMA is very good at filtering out the noise itself - it will go flat during noisy/choppy periods. But to add another layer of safety, its author, Perry Kaufman, proposed a KAMA filter. It works by taking the standard deviation of returns over the length of the the 'KAMA 1: Length' I mentioned above and multiplying it by an 'Entry Filter' (1 by default) and 'Exit Filter' (0.5 by default). The entry condition to go long is that the KAMA is pointing up and and it moved up more than 1 x St. Dev. of Returns. The exit condition is when the KAMA is pointing down and it moved down by more than 0.5 x St. Dev. of Returns. Thanks Thanks to ChuckBanger, cheatcountry, millerrh, and racer8 for parts of the code. I was able to build upon their good work. ----- I hope this strategy is helpful to you. Do you have any thoughts, ideas, or questions? Let me know in the comments or send me a message! I'd be glad to help you out. If you need an indicator or strategy to be built or customised for you, let me know! I'll be glad to help and it'll probably be cheaper than you think!
Pine Script™ strategy
by cisl22klasjk
13
[A618] Liquidity Levels Based OBV SR with KAMAWe all know OBV plays a very important role in figuring out price volume divergences and it can help anyone analyse the directivity force of the market and has a very good tradeoff if applied correctly In this Experiment i have derived liquidity levels for OBV using volume jumps inside the market A volume jump is classified as: Good Volume Jump = 1.618 times the Average Volume (WMA or 2pole ButterWorth's Filter of Volume) Great Volume Jump = 2 times the Average Volume (WMA or 2pole ButterWorth's Filter of Volume) Extreme Volume Jump = 3 times the Average Volume (WMA or 2pole ButterWorth's Filter of Volume) So the horizontal levels which you see on the indicator (colored in red/ blue / gray lines) are the derived Liquidity Levels for OBV in the Market, these are the levels where OBV is most likely to perform a movement or come back Also I have applied KAMA indicator on top of OBV for better Directive guidance, as of my experiments KAMA seems to be most stable and consistence of all the other moving averages, KAMA's Length inculde: KAMA - 8 KAMA - 34 KAMA - 200 Hope this Script help you guys! Thanks to Tradingview for providing such an awesome platform ##Note for Credits :: The Ehlers 2 pole butterworth Filter function is derived from @cheatcountry script ()
Pine Script™ indicator
by Ankit_1618
13
MA+MA+ is a multi time frame moving average indicator with more than a dozen different moving averages (like KAMA, VAMA, JMA, HMA and much more). More moving averages will be added on every update, hence Follow me to get notified. MA+ Supports automatic (AUTO in settings) time frame multiplier. For example, if you set 'Auto Resolution Multiplier' to 6, and your base chart is 5 minutes, the moving averages will plot at 5 * 6 = 30 minutes. You can still use 'User Defined' to use your own time frame without using the multiplier. Use higher time frame than the base chart time frame to avoid repainting. Default multiplier for higher time frame is 2. Supports Signals 1 (rising MA) or -1 (falling MA) to attach to another indicator. Bars are not colored by default. Just for this great community, You can request in the comments other moving averages that do not exists in MA+.
Pine Script™ indicator
by dman103
21
KINSKI Flexible Multi MA (EMA, SMA, RMA, WMA, VWMA, KAMA, HMA)This Multi Moving Average (MA) indicator is more flexible than any other indicator of this type offered so far. You can define up to 10 different Moving Average (MA) lines based on different calculation variants. The following MA types can be configured. - EMA: Exponentially Moving Average - SMA: Small Moving Average - RMA: Rolling Moving Average - WMA: Weighted Moving Average - VWMA: Volume Weighted Moving Average - KAMA: Kaufman's Adaptive Moving Average - HMA: Hull Moving Average Which settings can be made? - Selection for calculation formula ("Calculation Source"). The default value is "close". - for each MA line the "Length" and the "Type" can be defined - furthermore you can make layout adjustments via the "Style" menu
Pine Script™ indicator
by KINSKI
53
3MA'S + KAMA Trend (20EMA,50MA,200MA + KAMA Trend)This indicator, combines the traditional FOREX moving averages (20EMA, 50ma, 200ma) into a single indicator with an adaptive moving average (AMA) taken from a user defined timeframe to show trend direction (by default, it plots the daily 10/2/34 KAMA overlayed on any timeframe chart. An AMA moves slowly when markets are sideways but swiftly during periods of volatility as a result it reacts much fast than traditional options for moving average trends. If the price is above the KAMA, trend is up. Below the KAMA, trend is down.
Pine Script™ indicator
by HegemonyFinance
1
Moving Average Compendium=========== Moving Average Compendium (16 MA Types) =========== A selection of the most popular, widely used, interesting and most powerful Moving Averages we can think of. We've compiled 16 MA's into this script, and allowed full access to the source code so you can use what you need, as you need it. ----------- From very simple moving averages using built-in functions, all the way through to Fractal Adaptive Averages, we've tried to cover as much as we can think of! BUT, if you would like to make a suggestion or recommendation to be added to this compendium of MA's please let us know! Together we can get a complete list of many dozens of types of Moving Average. Full List (so far) --- SMA - Simple Moving Average EMA - Exponential Moving Average WMA - Weighted Moving Average VWMA - Volume Weighted Moving Average DEMA - Double Exponential Moving Average TEMA - Triple Exponential Moving Average SMMA - Smoothed Moving Average HMA - Hull Moving Average ZLEMA - Zero-Lag Exponential Moving Average KAMA - Kaufman Adaptive Moving Average JMA - Jurik Moving Average SWMA - Sine-Weighted Moving Average TriMA - Triangular Moving Average MedMA - Moving Median Average GeoMA - Geometric Mean Moving Average FRAMA - Fractal Adaptive Moving Average Line color changes from green (upward) to red (downward) - some of the MA types will "linger" without moving up or down and when they are in this state they should appear gray in color. Thanks to all involved - Good Luck and Happy Trading!
Pine Script™ indicator
by theCrypster
4