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TO: Prakticus
>For my own small piece of fortune I trade a moving average System as
>explained by Perry Kaufman in "Smarter Trading" (the adaptive moving
>average) with European bonds
Prakticus,
I was able find the AMA formula at:
http://www.guppytraders.com/Metastock%20Formulas/formula%20index.htm
Is this what you are using with good success? How are you using it?
This formula does look impressive...
Grizz
{Adaptive Moving Average by Perry Kauffman}
{Described in S&C 06/1995 - Metastock ver 6.5 or higher}
Periods := 10; Direction := CLOSE - Ref(CLOSE,-periods);
Volatility := Sum(Abs(ROC(CLOSE,1,$)),periods);
ER := Abs(Direction/Volatility);
FastSC := 2/(2 + 1); SlowSC := 2/(30 + 1);
SSC := ER * (FastSC - SlowSC) + SlowSC;
Constant := Pwr(SSC,2);
AMA := If(Cum(1) = periods +1, Ref(CLOSE,-1) + constant * (CLOSE - Ref
(CLOSE,-1)),
PREV + constant * (CLOSE - PREV));
AMA;
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