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everget
2019年3月6日午後10時38分

Bryant Adaptive Moving Average 

U.S. Dollar/South African RandFXCM

詳細

@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) which was used by Mr. Kaufman to create KAMA.

As result Mr. Bryant got a moving average with adaptive lookback period. This moving average has 3 parameters:
  • Initial lookback
  • Trend Parameter
  • Maximum lookback


The 2nd parameter, Trend Parameter can take any positive or negative value and determines whether the lookback length will increase or decrease with increasing ER.

Changing Trend Parameter we can obtain KAMA' behaviour


To learn more see http://www.adaptrade.com/Newsletter/NL-AdaptIndicators.htm
コメント
david_raymond_baa
Hey this is great.
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