adaptive moving average

Discussion in 'Strategy Development' started by travis, Jun 4, 2003.

  1. travis

    travis

    Can anyone send me the .ela file for tradestation with the signal for the adaptive moving average, or tell me where I can find it? Or even tell me a little bit about how adaptive moving averages differ among each other (in case there are different kinds of them)?
     
  2. nitro

    nitro

    There are many ways. Kaufman has one that is used by many. Others use a Kalman Filter. Yet others do an orthogonal projection onto the first 2 or 3 Eigenvectors of the corresponding 2 or 3 top Eigenvalues, then invert back.

    There are many ways - each has it's strengths and weaknesses.

    nitro
     
  3. nitro,

    which is the best in your opinion? have you purchased the JMA?

    Thanks
     
  4. nitro

    nitro

    vanilla,

    It is so hard for me to comment on the "best." Honestly, I know traders that could make money looking at a simple MA. Best is whatever allows you to bring out the best in yourself.

    Since I am not a system trader, it is hard for me to say. I have not purchased the JMA's simply because I am a discretionary trader and I find little or no value to them in that context.

    nitro
     

  5. I have purchased JMA. It is totally bada** for my applications (smoothing inputs to neural nets, mainly). I particularly like the phase adjustment ability.

    If I ever unshackle myself from my day job, I will probably purchase the esignal versions of the jurik tools. You can make some very pretty charts.

    I seem to remember a post from Nitro, saying he didn't get much out of JMA. You may not either. But, if you're trading for a living
    right now, what's $250 to find another way of looking at things?

    Couldn't hurt..

    Regards,

    Laz
     
  6. nitro,

    Thanks very much for your reply. I see exactly what you mean in terms of the subjectivity of best, and best being what works for the individual. As a new trader, there is still a small part of me that's waiting to be told what to do, although I'm nearly free of this by now. I haven't tried the JMA either, though it comes recommended amongst AMAs, an area of interest to me. I was thinking in terms of lag/noise.

    I have tried TS's built in AMA, and the T3 AMA which can be found on the web for free. Personally, I find the built in one has a superior ability to flatten out during noise. I've experimented with averaging the two with mixed results.

    Sean
     
  7. nitro

    nitro

    Sean,

    Many people go thru this phase. They watch a market like the ES and wonder HOW THE HELL CAN ANYONE TRADE THIS THING?

    They try many things. They even believe that some computer software will allow them to gain an edge such that if this deep and powerful technology is thrown at the market, that will seperate the "signal" from the noise.

    Sean, save yourself a lot of time. Learn to trade by exposing the neural net in your head to the market. Do this by getting training at a professional trading firm. Trust me, this stuff that these people sell makes ZERO difference - THINK MAN, why the hell sell it if gives you an edge? Everything you need to be successful as a trader comes with a basic trading package.

    There are traders that can make money by starting at QUOTE SCREENS SEAN - no charts, no indicators, and for Gods sakes no MESA!

    Understand how that can be and you will be a trader.

    nitro
     
  8. travis

    travis

    Thanks to everyone for your replies.
     
  9. travis

    travis

    Nitro, you and others replied to me about what amas are, but no one told me where I can find the amas, even the simplest ones. I am not asking for the ones you have to buy. Can you send an .ela to me or can you tell me where I find it?

    I found the function here, but how do I turn that into a signal?

    http://www.geocities.com/burzum_3/KAMA.txt


    I also have found the indicator within tradestation, but once again I can't turn it into a signal, with my limited knowledge of tradestation.
     
  10. Splat

    Splat

    If you look carefully the function is at the top and the indicator is *also* given at the bottom of the page :)
    You need to create two separate easylang docs - one of function type and one of indicator type in tradestation.
     
    #10     Jun 5, 2003