Adaptive Moving Averages

[ScoobyStoo]

Quote from intradaybill:

You're probably right. You may want to look into a method of switching from an AMA to a WMA when their difference becomes small. But I have to tell you about my experience, MAs, sooner or later will do the damage.

I would never touch a MA based trading system in my life. I just want to use the MA as a trigger to indicate when the direction of price movement has changed in a meaningful way (hence the need for an adaptive MA which can filter noise).

Don't worry. The MA is a tiny part of my strategy and just functions as a trigger to start the real work of evaluating the market.

 

[rickf]

Quote from ScoobyStoo:

Yeah, the MAMA looks interesting. Currently trying to figure out how to tweak the sensitivity of it. Any tips?

All depends on what you're trading and the various settings. I haven't used it in a while but when I did trading the ES I think I had FAMA and MAMA cofigurations of .2 and .12 (or vice-versa, I forget). Been a while.

 

[ScoobyStoo]

Quote from rickf:

All depends on what you're trading and the various settings. I haven't used it in a while but when I did trading the ES I think I had FAMA and MAMA cofigurations of .2 and .12 (or vice-versa, I forget). Been a while.

Well, without going into a load of unnecessary detail, I'm going to feed the MA a stream of T&S data (so effectively the equivalent of a 1 tick chart). I can configure the sensitivity of the KAMA and VIDYA easily using the period and volatility settings. However, the MAMA is a tricky little fecka and, since I don't have a background in digital signal processing, I'm struggling to suss out the maths so that I can tweak the sensitivity.

Thanks for your comments though. I'll keep playing around.