KAMA

Modified on 2008/04/18 09:02 by Administrator — Categorized as: Standard Indicators

Syntax

public KAMA(DataSeries source, int period, string description)
public static KAMA Series(DataSeries source, int period)

Parameter Description

source	The source DataSeries
period	Indicator calculation period

Description

Returns Kaufman's Adaptive Moving Average for the DataSeries specified in the source parameter. KAMA is an adaptive moving average, and uses the noise level of the market to determine the length of the trend required to calculate the average. The more noise in the market, the slower the trend used to calculate the average. The period parameter controls how much data is used by KAMA to calculate its efficiency ratio (signal/noise). A value of 8 to 10 is recommended.

Interpretation

You can base trading signals on whether KAMA turns down or up, indicating a potential trend reversal. Kaufman suggests using a small band around the KAMA indicator as a way to filter out whipsaws.
Since KAMA is a type of moving average, you can use the same interpretation techniques used for Simple Moving Averages (SMA).

Example

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			 
			DataSeries K1 = KAMA.Series( Close, 8 );
			DataSeries K2 = KAMA.Series( Close, 16 );
			PlotSeries( PricePane, K1, Color.Red, WealthLab.LineStyle.Solid, 1 );
			PlotSeries( PricePane, K2, Color.Maroon, WealthLab.LineStyle.Solid, 1 );

			// Note that KAMA is considered to be an "unstable" indicator; hence the bar loop starts at 50
			for(int bar = 50; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if( CrossUnder( bar, K1, K2 ) )
						SellAtMarket( bar+1, LastPosition );
				}
				else
				{
					if( CrossOver( bar, K1, K2 ) )
						BuyAtMarket( bar+1 );
				}
			}
		}
	}
}