Description
The Adaptive Moving Average (AMA) aka Kaufman Adaptive Moving Average (KAMA) was created by Perry Kaufman and first presented in his book Smarter Trading (1995). This moving average offered a significant advantage over previous attempts at ‘intelligent’ averages because it allowed the user greater control.
Author : Abdallah HACID
using System;
using cAlgo.API;
using cAlgo.API.Internals;
using cAlgo.API.Indicators;
using cAlgo.Lib;
namespace cAlgo.Indicators
{
[Indicator(IsOverlay = true, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
[Levels(50, 0, -50)]
public class KfAdaptMAIndicator : Indicator
{
[Parameter("Period", DefaultValue = 9)]
public int Period { get; set; }
[Parameter("FastPeriod", DefaultValue = 2)]
public int FastPeriod { get; set; }
[Parameter("SlowPeriod", DefaultValue = 30)]
public int SlowPeriod { get; set; }
[Output("Kaufman Adaptative Moving Average", Color = Colors.SteelBlue)]
public IndicatorDataSeries Result { get; set; }
protected override void Initialize()
{
// Initialize and create nested indicators
}
public override void Calculate(int index)
{
if (index != 0)
{
int period = Math.Min(index, Period);
double lastClose = MarketSeries.Close.LastValue;
DataSeries Close = MarketSeries.Close;
double Fastest = 2.0 / (FastPeriod + 1);
double Slowest = 2.0 / (SlowPeriod + 1);
double denominator = Close.fold((acc, previewClose, close) => acc + Math.Abs(close - previewClose), (double)0, +1, index - period, index);
;
double numerator = Math.Abs(lastClose - MarketSeries.Close[index - period]);
;
double alpha;
if (denominator != 0)
alpha = Math.Pow(((numerator / denominator) * (Fastest - Slowest) + Slowest), 2);
else
alpha = 0;
Result[index] = (alpha * lastClose) + ((1 - alpha) * Result.Last(1));
}
else
Result[index] = 1;
}
}
}
aysos75
Joined on 28.09.2013
- Distribution: Free
- Language: C#
- Trading platform: cTrader Automate
- File name: KfAdaptMAIndicator.algo
- Rating: 5
- Installs: 3931
Comments
@MZen
Close.fold((acc, previewClose, close) => acc + Math.Abs(close - previewClose), (double)0, +1, index - period, index);
is an anonyme method, with abstract type, the definition is in the cAlgo.Lib (file DataSeriesExtensions).
The fold method traverses the list by applying an operator to "compress" into a single value. here he make the sum of (close(i)-previewClose(i)).
Could you tell what Close.fold is and where to find it?
Thanks, an excellent indicator. I made a version without the "Close.fold..." feature, as I do not understand how that works and I needed to write the calculation as a function to incorporate this to my cBot indicator