Adaptive Moving Average (AMA)

Abbreviation: AMA

Category: Kaufman Adaptive Moving Average

Input Parameters:

Name Range Default

Time Series Close

AMA Periods Int >= 1 10

Calculation:

Y + (Smootiing Factor* (X - Y))

where

X = Time Series

Y = Exponential Moving Average one period ago (1st period Y is set to 1st period X)

Smoothing Factor = (Efficiency(Time Series, AMA Periods) * (2/(2+1) - 2/(30 + 1)) + 2/(30 + 1))^2

= (Efficiency(Time Series, AMA Periods) * (0.6667 – 0.0645) + 0.0645)^2

= (Efficiency(Time Series, AMA Periods) * (0.6021667) + 0.0645)^2

Efficiency represents Efficiency

Discussion:

Provides a smoothing of a time series with an emphasis given to values during the most recent time periods, based on the volatility of the time series in the last “AMA Periods”. An extremely volitile issue will have less weight givin to the most recent values, where as a less volitile issue will have more weight assigned to the most recent values.