Kaufman Adaptive Moving Average

Hi

Would some one please be able to created the above KAMA indicator?

Some background:

Kaufman’s Adaptive Moving Average (KAMA) was created by Perry J. Kaufman and presented in 1998 in his book “Trading Systems and Methods, 3rd Edition”. The main advantage of KAMA over other moving averages is that it takes into consideration not only the direction, but also the market volatility. KAMA adjusts its length according to the prevailing market conditions.

Also more detail here:

I found some code on ProRealCode, that may be of use however it would be good if you could adjust the parameters much like other MAs in Tradovate:

// parameters :

// Period = 10

// FastPeriod = 2

// SlowPeriod = 30

Fastest = 2 / (FastPeriod + 1)

Slowest = 2 / (SlowPeriod + 1)

if barindex < Period+1 then

Kama=close

else

Num = abs(close-close[Period])

Den = summationPeriod

ER = Num / Den

*Alpha = SQUARE(ER (Fastest - Slowest )+ Slowest)

KAMA = (Alpha * Close) + ((1 -Alpha) Kama[1])*

endif

return kama

It would really be appreciated if someone could find the time to create this really useful indicator

Thanks for reading

Jay

ProRealCode Link as I can not post 2 links in a post.

I agree. I use KAMA and would love to have it to use on Tradovate.

Hi @Jay_M and @Jeremy

I’ve put out an implementation of this into the community indicators. Just search “p2f” in the community indicator search on the platform (you may have to close and reopen the platform to get a new listing). You should see “p2f - Kaufman Adaptive Moving Average”.

I’ve checked it against the TOS implementation and it’s looking good but let me know if it’s producing unexpected results.

Thanks,
p2f

1 Like

@paidtofade Thank you so much for taking the time to do this, it really us appreciated. I have had a cursory look and it looks awesome. I will check when the market opens and let you know if there is anything but it really does look good.

Thanks again, hope you have a great rest of the weekend!

awesome! Thank you, it looks good so far. I’ll pass it around and report back with any feedback.