Kaufman’s Adaptive Moving Average (KAMA) -DOCUMENTATION (DESCRIPTIONS OF EXISTING RULES/INDICATORS)

[Cal231995]

Description: What is Kaufman’s Adaptive Moving Average (KAMA)? The Kaufman's Adaptive Moving Average (KAMA), Developed by Perry Kaufman in 1998 is a moving average designed to account for market noise or volatility. The powerful trend-following indicator is based on the Exponential Moving Average (EMA) It closely follows price when noise is low and smooths out the noise when price fluctuates. A bullish crossover is indicated by the fast moving average crossing above the slow moving average. And a bearish crossover is indicated by the fast moving average crossing below the slow moving average.

Formula :

Allocation Strategy: The strategy is to Identify Bullish and Bearish Crossovers Bullish Crossover : When the fast moving average cross above the slow moving average Bearish Crossover : When the fast moving average cross below the slow moving average

The theory suggest that asset price will have bullish and bearish crossover If Bullish Crossover then allocation = max_allocation(long position)

If Bearish Crossover then allocation = -max_allocation(short position) else: allocation = 0

Definition is free of copyright issues as I composed it myself

[bi-kash]

@fhashim for your reference: https://github.com/ta-oliver/infertrade/pull/169/commits/66f67015db25e6a23e0221839778d7c3c8acde6e

[Cal231995]

@SaurabhBansalInferstat here's a sample of a trading rule description. Thanks.