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Kaufman AMA with Trend Change

This indicator is the Kaufman Adaptive Moving Average, a/k/a KAMA, but which changes color when the indicator changes direction. This is a direct descendant of the Mov Avg Adaptive indicator that comes with MultiCharts.

I like single line indicators that change color when a trend changes, so this is my implementation of the KAMA with those attributes. The screenshot here is actually from TradeStation, but it looks and functions the same in MC.

Indicator Name: Mov Avg Adaptive Color Change
Inputs: Same as a normal KAMA, plus:

UsePlotColoring >>> set to true for coloring; false to turn it off
UpTrendColor >>> self explanatory
DownTrendColor >>> self explanatory

Small Difference in Original Calculation:
I added the Round2Fraction function to the MAA calculation, to round to the nearest minimum move for the chart. This helps filter out minor fluctuations when the indicator is practically flat, that may show a change in trend that isn't there. I don't believe this fundamentally changes anything, from my observations.

Import the PLA and apply to a chart. You're all set!

I posted a TradeStation version in that section, as the syntax is slightly different.

Category MultiCharts

Details: Kaufman AMA with Trend Change
Category: MultiCharts

September 30th, 2020
Size: 5.55 KB
Downloaded: 146 times

Keywords: adaptive average kama kaufman moving

Kaufman AMA with Trend Change

This indicator is the Kaufman Adaptive Moving Average, a/k/a KAMA, but which changes color when the indicator changes direction. This is a direct descendant of the Mov Avg Adaptive indicator that comes with TradeStation.

I like single line indicators that change color when a trend changes, so this is my implementation of the KAMA with those attributes.

Indicator Name: Mov Avg Adaptive Color Change
Inputs: Same as a normal KAMA, plus:

UsePlotColoring >>> set to true for coloring; false to turn it off
UpTrendColor >>> self explanatory
DownTrendColor >>> self explanatory

Small Difference in Original Calculation:
I added the Round2Fraction function to the MAA calculation, to round to the nearest minimum move for the chart. This helps filter out minor fluctuations when the indicator is practically flat, that may show a change in trend that isn't there. I don't believe this fundamentally changes anything, from my observations.

Import the ELD and apply to a chart. You're all set!

I am posting a MultiCharts version in that section, as the syntax is slightly different.

Category TradeStation (hidden)

Details: Kaufman AMA with Trend Change
Category: TradeStation (hidden)

September 30th, 2020
Size: 14.23 KB
Downloaded: 151 times

Keywords: adaptive average kama kaufman moving

Kaufman Efficiency Ratio

Kaufman Efficiency Ratio converted from thinkscript to easylanguage. Lower indicator w radar screen and an upper paintbar.

Category TradeStation (hidden)

Details: Kaufman Efficiency Ratio
Category: TradeStation (hidden)

May 22nd, 2019
Size: 26.67 KB
Downloaded: 444 times

Keywords: efficiency kaufman ratio

Kaufman Efficiency Ratio

Exported using NT Version 7.0.1000.5

The Kaufman Eifficiency Ratio is also know as Fractal Efficiency. It can be used as a filter to differentiate between trending conditions and sideways markets.

The efficiency ratio compares the absolute amount of the n-period momentum to the sum of the absolute amounts of the last n close-to-close changes. If all close-to-close changes pointed in the same direction - meaning either n consecutive upcloses or n consecutive downcloses - the fractal efficiency will take the value 100. This is an indication for a strong trend. If the n-period momentum takes the value 0, the fractal efficiency becomes 0 as well, indicating chop.

The fractal efficiency is used by the Kaufman Adaptive Moving Average to identify chop periods.

This version of the Kaufman Efficiency Ratio has a few additional options:

Chopline: I have added a chopline, which depends on the period of the Kaufman Efficiency Ratio. The formula for the chopline is 100/Sqrt(period).

Signalline: I have added a signalline by using a Hull Moving Average(HMA). The market starts trending, when the Kaufman Efficiency Ratio has crossed both the signalline and the chopline from below.

Classic/Balanded: The indicator allows for two different ways of calculating the Kaufman Efficiency Ratio. The 'Classic' option uses the original formula of Perry Kaufman. The 'Balanced' option replaces the absolute amount of the n-period momentum with the absolute amount of the n-period balanced momentum, which is based on a triangular moving average.

Update June 22, 2013: Minor modification to make indicator compatible with indicators/strategies running in COBC = false.

Category NinjaTrader 7 Indicators

Details: Kaufman Efficiency Ratio
Category: NinjaTrader 7 Indicators

June 22nd, 2013
Size: 11.07 KB
Downloaded: 2023 times

Keywords: chop efficiencyratio fractalefficiency kama kaufman momentum trend

Kaufman Efficiency Ratio

This indicator is ported from on FatTails' Kaufman Efficiency Ratio indicator for NinjaTrader 7.

The Kaufman Efficiency Ratio shows the amount of "trendiness" versus chop. When the Efficiency Ratio crosses above the chop line, there is a trend. If the Efficiency Ratio crosses below that, the market is range bound.

Efficiency Ratio's above the horizontal chop line cause this line to be coloured yellow to help with the interpretation of chop vs trend.

Category MultiCharts

Details: Kaufman Efficiency Ratio
Category: MultiCharts

January 21st, 2012
Size: 8.71 KB
Downloaded: 529 times

Keywords: filter kaufman trend rangebound