The correlation oscillator is a technical indicator that measure the linear relationship between the market closing price and a simple increasing line, the indicator is in a (-1,1) range and rise when price is up-trending and fall when price is down-trending. Another characteristic of the indicator is its inherent smoothing which provide a noise free...
"There are various ways to detect trends with moving averages. The moving average is a rolling filter and uptrends are detected when either the price is above the moving average or when the moving average’s slope is positive.
Given that an SMA can be well approximated by a constant-α AMA, it makes a lot of sense to adopt the AMA as the principal representative of...
Adaptive Laguerre Filter indicator script.
The Adaptive Laguerre Filter was originally developed and described by John Ehlers in his paper `Time Warp – Without Space Travel`.
Thanks to @apozdnyakov for the sorting solution.
This study is an experiment in adaptive filtering. The process in this study was inspired by KAMA and ZLEMA filtering techniques.
First, data is given an optional modification for lag reduction.
Then, an adaptive filter of your choice is calculated. There are 6 different adaptive filters to choose from in this study:
-Commodity Channel Index Adaptive Moving...
@ChartArt got my attention to this idea.
This type of moving average was originally developed by Michael R. Bryant (Adaptrade Software newsletter, April 2014). Mr. Bryant suggested a new approach, so called Variable Efficiency Ratio (VER), to obtain adaptive behaviour for the moving average. This approach is based on Perry Kaufman' idea with Efficiency Ratio (ER)...
The biggest challenge for any trader is identifying turning points in price movements. You never know if you’ll end up getting whipsawed out of a trade. Here’s one way to avoid those whipsaws.
Use cross sections of between AMA and KAMA.
Sell: Cross(KAMA, AMA)
Creator of KAMA: Perry Kaufman
Creator of AMA: Vitali Apirine
Coded by: Twitter @borserman
The Dynamically Adjustable Moving Average (AMA) is an adaptive moving average proposed by Jacinta Chan Phooi M’ng (1) originally provided to forecast Asian Tiger's futures markets. AMA adjust to market condition in order to avoid whipsaw trades as well as entering the trending market earlier. This moving average showed better results than classical...
An adaptive filtering technique allowing permanent re-evaluation of the filter parameters according to price volatility. The construction of this filter is based on the formula of moving ordinary least squares or lsma, the period parameter is estimated by dividing the true range with its highest. The filter will react faster during high volatility periods and...