Hi all
I have been working on 8 NonLinear Moving Averages Presented at the Mesa Conference 2005.Anyone working on these filters can mail to [email protected].
Filter Applied to BSESENSEX(KAMA)DATE FROM 15/12/2008 TO 30/06/2009.
Describe by Perry Kaufman in Trading Systems and Methods, Third Edition, John Wiley & Sons, pp 436-438
Adjusts the alpha of an EMA according to volatility
Ratios the price difference over a time span to the sum of the bar-to-bar price differences over the time span
Alpha is limited to range between a lower and upper bound.
TRADESTATION FORMULA
Inputs: Price((H+L)/2), Len(10),FastLen(2), SlowLen(30);
Vars: count(0), Num(0), Denom(0),ER(0), Fastest(0), Slowest(0), alpha(0), Filt(0);
Num = AbsValue(Price - Price[Len]);
Denom = 0;
For count = 0 to Len begin
Denom = Denom + AbsValue(Price[count] - Price[count + 1]);
End;
If Denom <> 0 then ER = Num / Denom;
Fastest = 2 / (FastLen + 1);
Slowest = 2 / (SlowLen + 1);
alpha = Square(ER*(Fastest - Slowest) + Slowest);
Filt = alpha*Price + (1 - alpha)*Filt[1];
If CurrentBar = 1 then Filt = Price;
Plot1(Filt, "KAMA");
AMIBROKER FORMULA
LBPeriods = Param( "LB Periods", 10, 1, 200, 1 );
FSCPeriods = Param( "FSC Periods", 2, 1, 200, 1 );
SSCPeriods = Param( "SSC Periods", 30, 1, 200, 1 );
FastSmoothConst = 2 / ( FSCPeriods + 1 );
SlowSmoothConst = 2 / ( SSCPeriods + 1 );
Direction = abs( Close - Ref( Close, -LBPeriods ) );
Volatility = Sum( abs( Close - Ref( Close, -1 ) ), LBPeriods );
EfficiencyRatio = Direction / Volatility;
SC = ( EfficiencyRatio * ( FastSmoothConst - SlowSmoothConst ) +
SlowSmoothConst ) ^ 2;
KAMA = AMA( Close, SC );
Plot( KAMA, "KAMA", ParamColor( "Color", colorYellow ), styleLine );
DATE INDEX VALUE ER ALPHA KAMA
12/30/2008 SENSEX 9716.16 0.057597 0.00984 9716.16
12/31/2008 SENSEX 9647.31 0.150927 0.024148 9714.497
01/02/2009 SENSEX 9958.22 0.108451 0.016853 9718.605
01/05/2009 SENSEX 10275.6 0.102708 0.015967 9727.499
01/06/2009 SENSEX 10335.93 0.088571 0.013888 9735.949
01/07/2009 SENSEX 9586.88 0.127719 0.02 9732.967
01/09/2009 SENSEX 9406.47 0.102726 0.01597 9727.753
01/12/2009 SENSEX 9110.05 0.173143 0.028485 9710.158
01/13/2009 SENSEX 9071.36 0.095096 0.01483 9700.685
01/14/2009 SENSEX 9370.49 0.130692 0.02051 9693.912
01/15/2009 SENSEX 9046.74 0.210511 0.036586 9670.235
01/16/2009 SENSEX 9323.59 0.249071 0.046008 9654.287
01/19/2009 SENSEX 9329.57 0.384623 0.087685 9625.814
01/20/2009 SENSEX 9100.55 0.45407 0.1142 9565.829
01/21/2009 SENSEX 8779.17 0.402587 0.094208 9491.719
01/22/2009 SENSEX 8813.84 0.301535 0.060558 9450.668
01/23/2009 SENSEX 8674.35 0.217993 0.03833 9420.911
01/27/2009 SENSEX 9004.08 0.030397 0.006859 9418.052
01/28/2009 SENSEX 9257.47 0.058395 0.009936 9416.457
01/29/2009 SENSEX 9236.28 0.10532 0.016367 9413.508
01/30/2009 SENSEX 9424.24 0.053527 0.00936 9413.608
02/02/2009 SENSEX 9066.7 0.134325 0.021141 9406.274
02/03/2009 SENSEX 9149.3 0.02738 0.006561 9404.588
02/04/2009 SENSEX 9201.85 0.269207 0.051356 9394.176
02/05/2009 SENSEX 9090.88 0.158726 0.02563 9386.403
02/06/2009 SENSEX 9300.86 0.331673 0.069819 9380.43
02/09/2009 SENSEX 9583.89 0.357292 0.07821 9396.343
02/10/2009 SENSEX 9647.47 0.278904 0.054037 9409.913
02/11/2009 SENSEX 9618.54 0.249868 0.046214 9419.554
02/12/2009 SENSEX 9465.83 0.027528 0.006576 9419.859
02/13/2009 SENSEX 9634.74 0.383151 0.087161 9438.588
02/16/2009 SENSEX 9305.45 0.093481 0.014594 9436.645
02/17/2009 SENSEX 9035 0.101883 0.015842 9430.282
02/18/2009 SENSEX 9015.18 0.048708 0.008807 9426.626
02/19/2009 SENSEX 9042.63 0.167292 0.027308 9416.14
02/20/2009 SENSEX 8843.21 0.577884 0.170148 9318.658
02/24/2009 SENSEX 8822.06 0.635601 0.200027 9219.325
02/25/2009 SENSEX 8902.56 0.541589 0.152595 9170.988
02/26/2009 SENSEX 8954.86 0.414567 0.098689 9149.659
02/27/2009 SENSEX 8891.61 0.551218 0.157159 9109.104
03/02/2009 SENSEX 8607.08 0.582626 0.172511 9022.499
03/03/2009 SENSEX 8427.29 0.641444 0.203186 8901.561
03/04/2009 SENSEX 8446.49 0.483514 0.126497 8843.996
03/05/2009 SENSEX 8197.92 0.661682 0.214321 8705.528
03/06/2009 SENSEX 8325.82 0.416374 0.099374 8667.795
03/09/2009 SENSEX 8160.4 0.470996 0.121192 8606.303
03/12/2009 SENSEX 8343.75 0.321678 0.066675 8588.797
03/13/2009 SENSEX 8756.61 0.105914 0.016459 8591.559
03/16/2009 SENSEX 8943.54 0.027501 0.006573 8593.873
03/17/2009 SENSEX 8863.82 0.149563 0.023894 8600.323
03/18/2009 SENSEX 8976.68 0.351749 0.076354 8629.059
03/19/2009 SENSEX 9001.75 0.351932 0.076415 8657.538
03/20/2009 SENSEX 8966.68 0.430311 0.104735 8689.916
03/23/2009 SENSEX 9424.02 0.643864 0.204502 8840.042
03/24/2009 SENSEX 9471.04 0.754508 0.269198 9009.906
03/25/2009 SENSEX 9667.9 0.701005 0.236806 9165.722
03/26/2009 SENSEX 10003.1 0.819272 0.311187 9426.303
03/27/2009 SENSEX 10048.49 0.608828 0.185866 9541.947
03/30/2009 SENSEX 9568.14 0.375533 0.084474 9544.16
03/31/2009 SENSEX 9708.5 0.374112 0.083977 9557.961
04/01/2009 SENSEX 9901.99 0.378583 0.085545 9587.39
04/02/2009 SENSEX 10348.83 0.546544 0.154935 9705.364
04/06/2009 SENSEX 10534.87 0.487424 0.128178 9811.688
04/08/2009 SENSEX 10742.34 0.554301 0.158634 9959.321
04/09/2009 SENSEX 10803.86 0.502633 0.134819 10073.18
04/13/2009 SENSEX 10967.22 0.429963 0.1046 10166.7
04/15/2009 SENSEX 11284.73 0.487809 0.128344 10310.19
04/16/2009 SENSEX 10947.4 0.647658 0.206574 10441.82
04/17/2009 SENSEX 11023.09 0.646677 0.206037 10561.58
04/20/2009 SENSEX 10979.5 0.560987 0.161857 10629.23
04/21/2009 SENSEX 10898.11 0.353355 0.076889 10649.9
04/22/2009 SENSEX 10817.54 0.167669 0.027383 10654.49
04/23/2009 SENSEX 11134.99 0.234773 0.042388 10674.86
04/24/2009 SENSEX 11329.05 0.317575 0.065405 10717.65
04/27/2009 SENSEX 11371.85 0.217486 0.038211 10742.64
04/28/2009 SENSEX 11001.75 0.14553 0.023149 10748.64
04/29/2009 SENSEX 11403.25 0.19492 0.033083 10770.3
05/04/2009 SENSEX 12134.75 0.490446 0.129484 10946.97
05/05/2009 SENSEX 12131.08 0.479551 0.124805 11094.76
05/06/2009 SENSEX 11952.75 0.424544 0.1025 11182.7
05/07/2009 SENSEX 12116.94 0.491432 0.129911 11304.07
05/08/2009 SENSEX 11876.43 0.294211 0.058407 11337.5
05/11/2009 SENSEX 11682.99 0.126358 0.019769 11344.33
05/12/2009 SENSEX 12158.03 0.271409 0.051959 11386.61
05/13/2009 SENSEX 12019.65 0.380765 0.086315 11441.25
05/14/2009 SENSEX 11872.91 0.182583 0.030436 11454.39
05/15/2009 SENSEX 12173.42 0.009786 0.004957 11457.95
05/18/2009 SENSEX 14284.21 0.542931 0.153227 11891.01
05/19/2009 SENSEX 14302.03 0.583123 0.17276 12307.54
05/20/2009 SENSEX 14060.66 0.464037 0.118292 12514.92
05/21/2009 SENSEX 13736.54 0.453816 0.114096 12654.3
05/22/2009 SENSEX 13887.15 0.560648 0.161693 12853.64
05/25/2009 SENSEX 13913.22 0.464287 0.118396 12979.09
05/26/2009 SENSEX 13589.23 0.377083 0.085017 13030.97
05/27/2009 SENSEX 14109.64 0.532294 0.148254 13190.88
05/28/2009 SENSEX 14296.01 0.501701 0.134407 13339.42
05/29/2009 SENSEX 14625.25 0.146032 0.023241 13369.3
06/01/2009 SENSEX 14840.63 0.229012 0.040972 13429.59
06/02/2009 SENSEX 14874.91 0.385083 0.087849 13556.56
06/03/2009 SENSEX 14870.9 0.588318 0.17537 13787.05
06/04/2009 SENSEX 15008.68 0.59898 0.180788 14007.91
06/05/2009 SENSEX 15103.55 0.521169 0.14314 14164.74
06/08/2009 SENSEX 14665.92 0.44472 0.110426 14220.08
06/09/2009 SENSEX 15127 0.454087 0.114207 14323.66
06/10/2009 SENSEX 15466.81 0.555034 0.158986 14505.4
06/11/2009 SENSEX 15411.47 0.402424 0.094148 14590.71
06/12/2009 SENSEX 15237.94 0.189128 0.031826 14611.31
06/15/2009 SENSEX 14875.52 0.000284 0.004184 14612.41
06/16/2009 SENSEX 14957.91 0.033726 0.007195 14614.9
06/17/2009 SENSEX 14522.84 0.179977 0.029891 14612.15
06/18/2009 SENSEX 14265.53 0.292918 0.058031 14592.03
06/19/2009 SENSEX 14521.89 0.054995 0.009532 14591.36
06/22/2009 SENSEX 14326.22 0.370713 0.082795 14569.41
06/23/2009 SENSEX 14324.01 0.595512 0.179017 14525.48
06/24/2009 SENSEX 14422.73 0.509452 0.137851 14511.32
06/25/2009 SENSEX 14345.62 0.408145 0.096274 14495.36
06/26/2009 SENSEX 14764.64 0.060099 0.010141 14498.09
06/29/2009 SENSEX 14785.74 0.083803 0.01322 14501.9
06/30/2009 SENSEX 14493.84 0.0018 0.004303 14501.86
I have been working on 8 NonLinear Moving Averages Presented at the Mesa Conference 2005.Anyone working on these filters can mail to [email protected].
Filter Applied to BSESENSEX(KAMA)DATE FROM 15/12/2008 TO 30/06/2009.
Describe by Perry Kaufman in Trading Systems and Methods, Third Edition, John Wiley & Sons, pp 436-438
Adjusts the alpha of an EMA according to volatility
Ratios the price difference over a time span to the sum of the bar-to-bar price differences over the time span
Alpha is limited to range between a lower and upper bound.
TRADESTATION FORMULA
Inputs: Price((H+L)/2), Len(10),FastLen(2), SlowLen(30);
Vars: count(0), Num(0), Denom(0),ER(0), Fastest(0), Slowest(0), alpha(0), Filt(0);
Num = AbsValue(Price - Price[Len]);
Denom = 0;
For count = 0 to Len begin
Denom = Denom + AbsValue(Price[count] - Price[count + 1]);
End;
If Denom <> 0 then ER = Num / Denom;
Fastest = 2 / (FastLen + 1);
Slowest = 2 / (SlowLen + 1);
alpha = Square(ER*(Fastest - Slowest) + Slowest);
Filt = alpha*Price + (1 - alpha)*Filt[1];
If CurrentBar = 1 then Filt = Price;
Plot1(Filt, "KAMA");
AMIBROKER FORMULA
LBPeriods = Param( "LB Periods", 10, 1, 200, 1 );
FSCPeriods = Param( "FSC Periods", 2, 1, 200, 1 );
SSCPeriods = Param( "SSC Periods", 30, 1, 200, 1 );
FastSmoothConst = 2 / ( FSCPeriods + 1 );
SlowSmoothConst = 2 / ( SSCPeriods + 1 );
Direction = abs( Close - Ref( Close, -LBPeriods ) );
Volatility = Sum( abs( Close - Ref( Close, -1 ) ), LBPeriods );
EfficiencyRatio = Direction / Volatility;
SC = ( EfficiencyRatio * ( FastSmoothConst - SlowSmoothConst ) +
SlowSmoothConst ) ^ 2;
KAMA = AMA( Close, SC );
Plot( KAMA, "KAMA", ParamColor( "Color", colorYellow ), styleLine );
DATE INDEX VALUE ER ALPHA KAMA
12/30/2008 SENSEX 9716.16 0.057597 0.00984 9716.16
12/31/2008 SENSEX 9647.31 0.150927 0.024148 9714.497
01/02/2009 SENSEX 9958.22 0.108451 0.016853 9718.605
01/05/2009 SENSEX 10275.6 0.102708 0.015967 9727.499
01/06/2009 SENSEX 10335.93 0.088571 0.013888 9735.949
01/07/2009 SENSEX 9586.88 0.127719 0.02 9732.967
01/09/2009 SENSEX 9406.47 0.102726 0.01597 9727.753
01/12/2009 SENSEX 9110.05 0.173143 0.028485 9710.158
01/13/2009 SENSEX 9071.36 0.095096 0.01483 9700.685
01/14/2009 SENSEX 9370.49 0.130692 0.02051 9693.912
01/15/2009 SENSEX 9046.74 0.210511 0.036586 9670.235
01/16/2009 SENSEX 9323.59 0.249071 0.046008 9654.287
01/19/2009 SENSEX 9329.57 0.384623 0.087685 9625.814
01/20/2009 SENSEX 9100.55 0.45407 0.1142 9565.829
01/21/2009 SENSEX 8779.17 0.402587 0.094208 9491.719
01/22/2009 SENSEX 8813.84 0.301535 0.060558 9450.668
01/23/2009 SENSEX 8674.35 0.217993 0.03833 9420.911
01/27/2009 SENSEX 9004.08 0.030397 0.006859 9418.052
01/28/2009 SENSEX 9257.47 0.058395 0.009936 9416.457
01/29/2009 SENSEX 9236.28 0.10532 0.016367 9413.508
01/30/2009 SENSEX 9424.24 0.053527 0.00936 9413.608
02/02/2009 SENSEX 9066.7 0.134325 0.021141 9406.274
02/03/2009 SENSEX 9149.3 0.02738 0.006561 9404.588
02/04/2009 SENSEX 9201.85 0.269207 0.051356 9394.176
02/05/2009 SENSEX 9090.88 0.158726 0.02563 9386.403
02/06/2009 SENSEX 9300.86 0.331673 0.069819 9380.43
02/09/2009 SENSEX 9583.89 0.357292 0.07821 9396.343
02/10/2009 SENSEX 9647.47 0.278904 0.054037 9409.913
02/11/2009 SENSEX 9618.54 0.249868 0.046214 9419.554
02/12/2009 SENSEX 9465.83 0.027528 0.006576 9419.859
02/13/2009 SENSEX 9634.74 0.383151 0.087161 9438.588
02/16/2009 SENSEX 9305.45 0.093481 0.014594 9436.645
02/17/2009 SENSEX 9035 0.101883 0.015842 9430.282
02/18/2009 SENSEX 9015.18 0.048708 0.008807 9426.626
02/19/2009 SENSEX 9042.63 0.167292 0.027308 9416.14
02/20/2009 SENSEX 8843.21 0.577884 0.170148 9318.658
02/24/2009 SENSEX 8822.06 0.635601 0.200027 9219.325
02/25/2009 SENSEX 8902.56 0.541589 0.152595 9170.988
02/26/2009 SENSEX 8954.86 0.414567 0.098689 9149.659
02/27/2009 SENSEX 8891.61 0.551218 0.157159 9109.104
03/02/2009 SENSEX 8607.08 0.582626 0.172511 9022.499
03/03/2009 SENSEX 8427.29 0.641444 0.203186 8901.561
03/04/2009 SENSEX 8446.49 0.483514 0.126497 8843.996
03/05/2009 SENSEX 8197.92 0.661682 0.214321 8705.528
03/06/2009 SENSEX 8325.82 0.416374 0.099374 8667.795
03/09/2009 SENSEX 8160.4 0.470996 0.121192 8606.303
03/12/2009 SENSEX 8343.75 0.321678 0.066675 8588.797
03/13/2009 SENSEX 8756.61 0.105914 0.016459 8591.559
03/16/2009 SENSEX 8943.54 0.027501 0.006573 8593.873
03/17/2009 SENSEX 8863.82 0.149563 0.023894 8600.323
03/18/2009 SENSEX 8976.68 0.351749 0.076354 8629.059
03/19/2009 SENSEX 9001.75 0.351932 0.076415 8657.538
03/20/2009 SENSEX 8966.68 0.430311 0.104735 8689.916
03/23/2009 SENSEX 9424.02 0.643864 0.204502 8840.042
03/24/2009 SENSEX 9471.04 0.754508 0.269198 9009.906
03/25/2009 SENSEX 9667.9 0.701005 0.236806 9165.722
03/26/2009 SENSEX 10003.1 0.819272 0.311187 9426.303
03/27/2009 SENSEX 10048.49 0.608828 0.185866 9541.947
03/30/2009 SENSEX 9568.14 0.375533 0.084474 9544.16
03/31/2009 SENSEX 9708.5 0.374112 0.083977 9557.961
04/01/2009 SENSEX 9901.99 0.378583 0.085545 9587.39
04/02/2009 SENSEX 10348.83 0.546544 0.154935 9705.364
04/06/2009 SENSEX 10534.87 0.487424 0.128178 9811.688
04/08/2009 SENSEX 10742.34 0.554301 0.158634 9959.321
04/09/2009 SENSEX 10803.86 0.502633 0.134819 10073.18
04/13/2009 SENSEX 10967.22 0.429963 0.1046 10166.7
04/15/2009 SENSEX 11284.73 0.487809 0.128344 10310.19
04/16/2009 SENSEX 10947.4 0.647658 0.206574 10441.82
04/17/2009 SENSEX 11023.09 0.646677 0.206037 10561.58
04/20/2009 SENSEX 10979.5 0.560987 0.161857 10629.23
04/21/2009 SENSEX 10898.11 0.353355 0.076889 10649.9
04/22/2009 SENSEX 10817.54 0.167669 0.027383 10654.49
04/23/2009 SENSEX 11134.99 0.234773 0.042388 10674.86
04/24/2009 SENSEX 11329.05 0.317575 0.065405 10717.65
04/27/2009 SENSEX 11371.85 0.217486 0.038211 10742.64
04/28/2009 SENSEX 11001.75 0.14553 0.023149 10748.64
04/29/2009 SENSEX 11403.25 0.19492 0.033083 10770.3
05/04/2009 SENSEX 12134.75 0.490446 0.129484 10946.97
05/05/2009 SENSEX 12131.08 0.479551 0.124805 11094.76
05/06/2009 SENSEX 11952.75 0.424544 0.1025 11182.7
05/07/2009 SENSEX 12116.94 0.491432 0.129911 11304.07
05/08/2009 SENSEX 11876.43 0.294211 0.058407 11337.5
05/11/2009 SENSEX 11682.99 0.126358 0.019769 11344.33
05/12/2009 SENSEX 12158.03 0.271409 0.051959 11386.61
05/13/2009 SENSEX 12019.65 0.380765 0.086315 11441.25
05/14/2009 SENSEX 11872.91 0.182583 0.030436 11454.39
05/15/2009 SENSEX 12173.42 0.009786 0.004957 11457.95
05/18/2009 SENSEX 14284.21 0.542931 0.153227 11891.01
05/19/2009 SENSEX 14302.03 0.583123 0.17276 12307.54
05/20/2009 SENSEX 14060.66 0.464037 0.118292 12514.92
05/21/2009 SENSEX 13736.54 0.453816 0.114096 12654.3
05/22/2009 SENSEX 13887.15 0.560648 0.161693 12853.64
05/25/2009 SENSEX 13913.22 0.464287 0.118396 12979.09
05/26/2009 SENSEX 13589.23 0.377083 0.085017 13030.97
05/27/2009 SENSEX 14109.64 0.532294 0.148254 13190.88
05/28/2009 SENSEX 14296.01 0.501701 0.134407 13339.42
05/29/2009 SENSEX 14625.25 0.146032 0.023241 13369.3
06/01/2009 SENSEX 14840.63 0.229012 0.040972 13429.59
06/02/2009 SENSEX 14874.91 0.385083 0.087849 13556.56
06/03/2009 SENSEX 14870.9 0.588318 0.17537 13787.05
06/04/2009 SENSEX 15008.68 0.59898 0.180788 14007.91
06/05/2009 SENSEX 15103.55 0.521169 0.14314 14164.74
06/08/2009 SENSEX 14665.92 0.44472 0.110426 14220.08
06/09/2009 SENSEX 15127 0.454087 0.114207 14323.66
06/10/2009 SENSEX 15466.81 0.555034 0.158986 14505.4
06/11/2009 SENSEX 15411.47 0.402424 0.094148 14590.71
06/12/2009 SENSEX 15237.94 0.189128 0.031826 14611.31
06/15/2009 SENSEX 14875.52 0.000284 0.004184 14612.41
06/16/2009 SENSEX 14957.91 0.033726 0.007195 14614.9
06/17/2009 SENSEX 14522.84 0.179977 0.029891 14612.15
06/18/2009 SENSEX 14265.53 0.292918 0.058031 14592.03
06/19/2009 SENSEX 14521.89 0.054995 0.009532 14591.36
06/22/2009 SENSEX 14326.22 0.370713 0.082795 14569.41
06/23/2009 SENSEX 14324.01 0.595512 0.179017 14525.48
06/24/2009 SENSEX 14422.73 0.509452 0.137851 14511.32
06/25/2009 SENSEX 14345.62 0.408145 0.096274 14495.36
06/26/2009 SENSEX 14764.64 0.060099 0.010141 14498.09
06/29/2009 SENSEX 14785.74 0.083803 0.01322 14501.9
06/30/2009 SENSEX 14493.84 0.0018 0.004303 14501.86
