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2018issue C0448-54

Two Adaptive moving averages as a confirmation pair

The April 2018 implementations pair a close-location Adaptive moving average with a Kaufman Adaptive moving average and use their cross as the working signal. Sideways markets still produce failed signals, so a Trend filter or a sustained bar-count confirmation remains part of the design.

  • Pair a close-location Adaptive moving average with a Kaufman Adaptive moving average and treat their Moving-average crossover as the working signal, not as a single smoother.
  • The close-location line scales its smoothing constant from where the close sits inside the lookback high-low range. The Kaufman line reacts to close-to-close change.
  • Adding the second Adaptive moving average is described as reducing but not eliminating whipsaws. Sideways markets remain a main source of failed signals.
  • A market or Trend filter, or a chosen number of bars of confirmation, can be required before a cross is treated as official.
Entries in this reading3 entries
Current trackAdaptive moving average28 readingsMoving-average crossover108 readingsTrend filter137 readings

Pair two Adaptive moving averages

The April 2018 Traders' Tips implementations pair a close-location Adaptive moving average with a Kaufman Adaptive moving average. Their Moving-average crossover is the working signal.

The close-location Adaptive moving average updates Kaufman's construction by scaling the smoothing constant from how far the close sits inside the lookback high-low range, rather than from close-to-close change alone.

How the close-location line updates

The supplied Adaptive moving average function first maps close location inside the high-low range onto a smoothing constant between the fast and slow constants, squares that constant, and then updates the prior average toward the current close.

Supplied lookback and cross rules

A supplied EasyLanguage indicator and strategy use a 10-period lookback with fast and slow average lengths of 2 and 30. They buy or sell short the next bar when the Adaptive moving average crosses the Kaufman Adaptive moving average.

Platform notes present the same pairing as a way to mark turning points and to filter price movement. Those notes include rule-block rebuilds and overlaid daily plots of both averages.

AMA and KAMA on daily ES March 2018

The close-location AMA stays nearer the November–January advance on the daily March 2018 E-mini S&P while Kaufman KAMA lags beneath it; after the February break AMA drops through KAMA. Points were read from the NinjaTrader plot. The last prints—close 2652.50, AMA 2692.61, KAMA 2719.30—are the labels on the right-hand scale.
The close-location AMA stays nearer the November–January advance on the daily March 2018 E-mini S&P while Kaufman KAMA lags beneath it; after the February break AMA drops through KAMA. Points were read from the NinjaTrader plot. The last prints—close 2652.50, AMA 2692.61, KAMA 2719.30—are the labels on the right-hand scale.ES 03-18 · Daily · 2017-11-01T00:00:00.000Z to 2018-02-12T00:00:00.000Z

Study settings printed on the chart are fast 2, period 10, slow 30. Interior levels are approximate to the 20-point price grid; only the three right-scale tags are exact.

Sideways markets and an extra Trend filter

Commentary on the crossover system states that sideways markets remain a main source of failed signals. An additional market or Trend filter can be used to reduce further whipsaws.

Relative to a simple price-versus-Kaufman-average cross, adding the second Adaptive moving average is described as reducing but not eliminating whipsaws.

Hold the cross for a chosen number of bars

A further bar-count confirmation is proposed. Treat an Adaptive moving average versus Kaufman Adaptive moving average cross as official only after it has been sustained for a chosen number of bars.

On one illustrated chart, a one-bar or two-bar delay was not enough to ignore brief interruptions of the prevailing trend. A three-to-five-bar delay was noted as potentially costly if a true reversal held.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
21 of 24 in the Adaptive moving average track
201830-35 pp.Next on Adaptive moving averageConstructing an adaptive filter for adoption-cycle reversalsAssemble the adaptive moving average, the adoption-of-market-price histogram, and the supply-demand state as one visual output rather than three separate readouts.
All readings on this track · 24 readings
  1. 1991Building variable-length moving averages from partitioned price changes
  2. 1991Variable-length moving average from change dispersion
  3. 1992Constructing volatility-adaptive exponential smoothing
  4. 1995Constructing an adaptive moving average with an efficiency ratio and filter
  5. 1995Two-gate breakout confirmation with adaptive averages
  6. 1995Building momentum-scaled adaptive moving averages
  7. 1995Adaptive length as a construction choice inside exponential smoothing
  8. 1998Testing price-channel breakouts with a lag-aware adaptive average
  9. 1998Constructing filters by nesting offsets and variable weights
  10. 1998Constructing an efficiency ratio adaptive average and entry filter
  11. 2001Encoding candle structure as a numeric filter
  12. 2001Adaptive averages driven by cycle-phase speed
  13. 2005Constructing an adaptive moving average from a fractal-dimension weight
  14. 2005Range-dimension adaptive exponential filter
  15. 2010Constructing simple, exponential, and adaptive averages
  16. 2010How a price-hugging smoother is assembled from ordinary averages
  17. 2013Evaluating an adaptive moving average against a same-window moving average
  18. 2016Three-layer confirmation: adaptive average, stochastic relative strength index, and stop-and-reverse
  19. 2017One-alpha reverse-path exponential smoothing
  20. 2018Pair two adaptive averages to filter swing turns
  21. 2018Two Adaptive moving averages as a confirmation pair
  22. 2018Constructing an adaptive filter for adoption-cycle reversals
  23. 2018Constructing a deviation-scaled adaptive moving average
  24. 2020Walk-forward and adaptive averages as two tests of the same trend
By fieldIndicators and filters682 readingsBy year201898 readings
All 28 readings tagged Adaptive moving average
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2001Adaptive averages driven by cycle-phase speed1995Constructing an adaptive moving average with an efficiency ratio and filter1998Constructing an efficiency ratio adaptive average and entry filter2018Constructing an adaptive filter for adoption-cycle reversals1991Building variable-length moving averages from partitioned price changes