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KAMA Fx

by Dr.Hamdi Boukamcha
Name:
KAMA
Author: brother3th (2009.08.30 10:16)
Downloaded: 4197
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KAMA Fx   KAMA.mq4 (2.3 Kb) View
Kaufman’s Adaptive Moving Average.

 

KAMA Fx

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Thanks!
11.04.2012 15:18 excelf

KAMA[i] = KAMA[i+1] + sc * (Close[i] – KAMA[i+1]);

…it should be instead:

KAMA[i] = (1-sc) * KAMA[i+1] + sc * (Close[i] – KAMA[i+1]);

Wrong. The formula is

KAMA[i] = (1-sc) * KAMA[i+1] + sc * Close[i]

but that has significant problems with floating point round off. The first equation is equivalent but without the problems.

21.01.2010 19:12 WHRoeder

I think you got something wrong here…
Coefficients used for calculation of filters should always sum up to 1.
When you calculate the output of this filter you use:

KAMA[i] = KAMA[i+1] + sc * (Close[i] – KAMA[i+1]);

…it should be instead:

KAMA[i] = (1-sc) * KAMA[i+1] + sc * (Close[i] – KAMA[i+1]);

 

 

Cheers,
Zyp 😉

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