Kaufman's Adaptive Moving Average (KAMA) For ThinkOrSwim

B

BillMurray

Member
A buddy of mine wrote this KAMA indicator for ThinkorSwim and a few of us in a circle of friends use it. Austin (who write it) has been trying to massage the code so that it will throw alerts when the trend changes, to be able to scan for trend changes on multiple time frames, and to perhaps put a watchlist column in place to be able to easily pick off tickers changing polarity.

Code: 
declare lower;
## KAMA (Kaufman Adaptive Moving Average) Settings
input price = close;
input KAMAfastLength = 2;
input KAMAslowLength = 30;
input effRatioLength = 10;
input mode = {default KAMA, AMA};

Assert(KAMAfastLength > 0, "'fast length' must be positive: " + KAMAfastLength);
Assert(KAMAslowLength > 0, "'slow length' must be positive: " + KAMAslowLength);

def direction;
def volatility;
def ER;

switch (mode) {
case KAMA:
    direction = AbsValue(price - price[effRatioLength]);
    volatility = Sum(AbsValue(price - price[1]), effRatioLength);
    ER = if volatility != 0 then direction / volatility else 0;
case AMA:
    direction = Double.NaN;
    volatility = Double.NaN;
    ER = AbsValue((price - Lowest(low, effRatioLength)) -
(Highest(high, effRatioLength) - price)) / (Highest(high,
effRatioLength) - Lowest(low, effRatioLength));
}

def FastSF = 2 / (KAMAfastLength + 1);
def SlowSF = 2 / (KAMAslowLength + 1);
def ScaledSF = ER * (FastSF - SlowSF) + SlowSF;
def AMA = CompoundValue(1, AMA[1] + Sqr(ScaledSF) * (price - AMA[1]),
price);

def MovAvgAdaptive = AMA;

## EMA Settings
input length = 34;
input displace = 0;

def AvgExp = ExpAverage(price[-displace], length);


##MACD

input fastLength = 12;
input slowLength = 26;
input macdLength = 9;
input averageType = AverageType.EXPONENTIAL;

def diff = reference MACD(fastLength, slowLength, macdLength, averageType).Diff;


## Volume
def Vol = volume(period = AggregationPeriod.DAY);

def avg30dayVol = Average(volume, 30);


def today = volume;
def avg30periodVol = Average(volume, 30);

def BuyVolumeSignal = (today / avg30periodVol) * 100;
def SellVolumeSignal = (today / avg30periodVol) * 100;


def condition1 = price > MovAvgAdaptive and price > AvgExp and BuyVolumeSignal > 15 is true;

def condition2 = price < MovAvgAdaptive and price < AvgExp and BuyVolumeSignal > 15;
;

plot trend = if condition1 is true then 1 else if condition2 >0 then -1 else 0;
trend.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
trend.DefineColor("Up", Color.UPTICK);
trend.DefineColor("Down", Color.DOWNTICK);
trend.AssignValueColor(if trend > 0 then trend.Color("Up") else if trend < 0 then trend.Color("Down") else GetColor(1));
#Zero.SetDefaultColor(GetColor(5));


input DoAlerts = Yes;
Alert(condition1, "Cainer Buy", Alert.BAR, Sound.Ring );
Alert(condition2, "Cainer Sell", Alert.BAR, Sound.Bell );

Any suggestions would be greatly appreciated, and of course you get to use this. We use it to trade /ES and /NQ futures quite successfully.
 
Here is a KAMA study which you may enjoy.

Code: 
input price = close;

#AMA 2,30,10
input fastLength = 2;
input slowLength = 30;
input effRatioLength = 10;
input mode = {default AMA, KAMA};

Assert(fastLength > 0, "'fast length' must be positive: " + fastLength);
Assert(slowLength > 0, "'slow length' must be positive: " + slowLength);

def direction;
def volatility;
def ER;

switch (mode) {
case KAMA:
    direction = AbsValue(price - price[effRatioLength]);
    volatility = Sum(AbsValue(price - price[1]), effRatioLength);
    ER = if volatility != 0 then direction / volatility else 0;
case AMA:
    direction = Double.NaN;
    volatility = Double.NaN;
    ER = AbsValue((price - Lowest(low, effRatioLength)) -
(Highest(high, effRatioLength) - price)) / (Highest(high,
effRatioLength) - Lowest(low, effRatioLength));
}

def FastSF = 2 / (fastLength + 1);
def SlowSF = 2 / (slowLength + 1);
def ScaledSF = ER * (FastSF - SlowSF) + SlowSF;
def AMA = CompoundValue(1, AMA[1] + Sqr(ScaledSF) * (price - AMA[1]),
price);

plot MovAvgAdaptive = AMA;
plot MovAvgAdaptiveline = AMA;
MovAvgAdaptive.SetDefaultColor(CreateColor(153, 0, 153));
MovAvgAdaptive.SetLineWeight(4);
MovAvgAdaptive.SetStyle(Curve.SHORT_DASH);
MovAvgAdaptiveline.SetStyle(Curve.FIRM);
MovAvgAdaptiveline.SetDefaultColor(CreateColor(153, 0, 153));
MovAvgAdaptiveline.SetLineWeight(2);


#KAMA 2,30,10
input fastLength2 = 2;
input slowLength2 = 30;
input effRatioLength2 = 10;
input mode2 = {default KAMA, AMA};

Assert(fastLength2 > 0, "'fast length2' must be positive: " + fastLength2);
Assert(slowLength2 > 0, "'slow length2' must be positive: " + slowLength2);

def direction2;
def volatility2;
def ER2;

switch (mode2) {
case KAMA:
    direction2 = AbsValue(price - price[effRatioLength2]);
    volatility2 = Sum(AbsValue(price - price[1]), effRatioLength2);
    ER2 = if volatility2 != 0 then direction2 / volatility2 else 0;
case AMA:
    direction2 = Double.NaN;
    volatility2 = Double.NaN;
    ER2 = AbsValue((price - Lowest(low, effRatioLength2)) -
(Highest(high, effRatioLength2) - price)) / (Highest(high,
effRatioLength2) - Lowest(low, effRatioLength2));
}

def FastSF2 = 2 / (fastLength2 + 1);
def SlowSF2 = 2 / (slowLength2 + 1);
def ScaledSF2 = ER2 * (FastSF2 - SlowSF2) + SlowSF2;
def AMA2 = CompoundValue(1, AMA2[1] + Sqr(ScaledSF2) * (price - AMA2[1]),
price);

plot MovAvgAdaptive2 = AMA2;
MovAvgAdaptive2.SetDefaultColor(GetColor(1));
MovAvgAdaptive2.SetLineWeight(2);
MovAvgAdaptive2.SetStyle(Curve.FIRM);

#KAMA 5,30,10
input fastLength3 = 5;
input slowLength3 = 30;
input effRatioLength3 = 10;
input mode3 = {default KAMA, AMA};

Assert(fastLength3 > 0, "'fast length3' must be positive: " + fastLength3);
Assert(slowLength3 > 0, "'slow length3' must be positive: " + slowLength3);

def direction3;
def volatility3;
def ER3;

switch (mode3) {
case KAMA:
    direction3 = AbsValue(price - price[effRatioLength3]);
    volatility3 = Sum(AbsValue(price - price[1]), effRatioLength3);
    ER3 = if volatility3 != 0 then direction3 / volatility3 else 0;
case AMA:
    direction3 = Double.NaN;
    volatility3 = Double.NaN;
    ER3 = AbsValue((price - Lowest(low, effRatioLength3)) -
(Highest(high, effRatioLength3) - price)) / (Highest(high,
effRatioLength3) - Lowest(low, effRatioLength3));
}

def FastSF3 = 2 / (fastLength3 + 1);
def SlowSF3 = 2 / (slowLength3 + 1);
def ScaledSF3 = ER2 * (FastSF3 - SlowSF3) + SlowSF3;
def AMA3 = CompoundValue(1, AMA3[1] + Sqr(ScaledSF3) * (price - AMA3[1]),
price);

plot MovAvgAdaptive3 = AMA3;
MovAvgAdaptive3.SetDefaultColor(GetColor(9));
MovAvgAdaptive3.SetLineWeight(3);
MovAvgAdaptive3.SetStyle(Curve.FIRM);

#Chart Bubbles
def Upsignal = close crosses above MovAvgAdaptive;
def Downsignal = close crosses below MovAvgAdaptive;

input crossingType = {default above, below};

#plot signal = crosses(close, MovAvgAdaptive, crossingType == CrossingType.above);

#signal.DefineColor("Above", GetColor(6));
#signal.DefineColor("Below", GetColor(5));
#signal.AssignValueColor(if crossingType == CrossingType.above then signal.color("Above") else signal.color("Below"));

#signal.SetPaintingStrategy(if crossingType == CrossingType.above
   # then PaintingStrategy.BOOLEAN_ARROW_UP
    #else PaintingStrategy.BOOLEAN_ARROW_DOWN);

#AddChartBubble(Upsignal, high, "CxA", Color.DARK_GREEN);
#AddChartBubble(Downsignal, low, "CxA", Color.DARK_RED);

#Vertical Lines
def long = MovAvgAdaptive crosses above MovAvgAdaptive2;
def short = MovAvgAdaptive crosses below MovAvgAdaptive2;

AddVerticalLine(short, close, Color.RED, Curve.SHORT_DASH);
AddVerticalLine(long, close, Color.GREEN, Curve.SHORT_DASH);

#Alert
def alerttrigger1 = close crosses MovAvgAdaptive;

input alerttext = "!!!!! CLOSE crosses AMA  !!!!!";

input UseAlerts = {false, default true};

input AlertType = {default "BAR", "ONCE", "TICK"};

def at = AlertType;

input AlertSound = {"Chimes", "Ring", default "Bell", "NoSound", "Ding"};

Alert (alerttrigger1 and UseAlerts, alerttext, if at == 1 then Alert.ONCE else if at == 2 then Alert.TICK else Alert.BAR, AlertSound);

def D2 = close > MovAvgAdaptive;
def D1 = close < MovAvgAdaptive;
def OB = D1;
def OS = D2;
def TLB = !D1 and !D2;
AddLabel(TLB, "      (Close <> AMA)      ", Color.YELLOW);
AddLabel(OS, "      (Close > AMA)      ", Color.UPTICK);
AddLabel(OB, "      (Close < AMA)      ", Color.DOWNTICK);
 
Last edited by a moderator:
Since the KAMA does such a good job at identifying flat markets perfect for mean reversion strategies, would anyone consider using it as the mid point on a channel?
I'm not sure whether a std. deviation or ATR channel would be more optimal. Thoughts?
 
I don't have KAMA, but here is one with I had made with HULL using ATR, you or someone else can splice KAMA into this code and add more ATR bands as you wish
Code: 
input price = close;
input length = 200;
input displace = 0;
input multiplier = 1;
input ATRlength = 14;
input averageType = AverageType.WILDERS;

def ATR = MovingAverage(averageType, TrueRange(high, close, low), length);

def HMALine = MovingAverage(AverageType.HULL, price, length)[-displace];

plot upperband = HMALine + (multiplier * ATR);

plot HMA = HMALine;

plot lowerband = HMALine - (multiplier * ATR);

HMA.DefineColor("Up", GetColor(1));
HMA.DefineColor("Down", GetColor(0));
HMA.AssignValueColor(if HMA > HMA[1] then HMA.color("Up") else HMA.color("Down"));
 
@tradebyday Thanks, I had trouble finding the KAMA code for movAvgAdaptive, figured out I had to hit "duplicate."
We'll have to see how it performs, but at first glance it looks really nice.

me5EGtN.jpg


I added both Standard Deviation and ATR bands, std dev looks to be the most helpful insofar.
Here's the chart with the indicator,
https://tos.mx/0XzXfah
If you have any ideas on a novel strategy or system with it, please let me know. I think it's going to be most helpful in gauging market state, but I might test classic Bollinger bands strategies.
 
@tradebyday : Thanks for sharing the code.

Is it possible to add custom alerts when the prices breaks the top/bottom?

I am looking to use it as a mean reversion scalp. Will fade the move only when it breaches the top or bottom line.

Looking to learn how to add alerts via thinkscript.

Coding is really not my thing which is why I am "retired" by the algos.

Thanks in advance.
 
HBDL Trader said:
@tradebyday : Thanks for sharing the code.

Is it possible to add custom alerts when the prices breaks the top/bottom?

I am looking to use it as a mean reversion scalp. Will fade the move only when it breaches the top or bottom line.

Looking to learn how to add alerts via thinkscript.

Coding is really not my thing which is why I am "retired" by the algos.

Thanks in advance.
Click to expand...
Check some other thinkscripts in the forums, as I know several have alerts in them which you could simply copy pasta that portion of code then simply edit the text to match your required criteria. I don't use alerts for anything so it is not my particular expertise to add
 
tradebyday said:
Check some other thinkscripts in the forums, as I know several have alerts in them which you could simply copy pasta that portion of code then simply edit the text to match your required criteria. I don't use alerts for anything so it is not my particular expertise to add
Click to expand...

Thanks for the quick response. I will do that. Have a awesome day of trading:)
 
Hey was looking in the search for a simple KAMA indicator and couldnt seem to find it... anyone have code for it?

Thanks
 
Antares66 said:
Is there a KAMA scanner to filter those stocks which price crossed the 30 KAMA?
Click to expand...
Ruby: 
def displace = 0;
input multiplier = 1;
input ATRlength = 14;
input averageType = AverageType.WILDERS;
input Dev_length = 20;
input Num_Dev = 2.0;
input price = close;
input fastLength = 2;
input slowLength = 30;
input effRatioLength = 10;

def    direction = AbsValue(price - price[effRatioLength]);
def    volatility = Sum(AbsValue(price - price[1]), effRatioLength);
def    ER = if volatility != 0 then direction / volatility else 0;
def FastSF = 2 / (fastLength + 1);
def SlowSF = 2 / (slowLength + 1);
def ScaledSF = ER * (FastSF - SlowSF) + SlowSF;
def AMA = CompoundValue(1, AMA[1] + Sqr(ScaledSF) * (price - AMA[1]),
price);

def MovAvgAdaptive = AMA;
plot scan = close crosses above MovAvgAdaptive ;
Shared Scanner Link: http://tos.mx/wSSVQju Click here for --> Easiest way to load shared links
Vj82UIP.png

N8f689T.png
 
BillMurray said:
A buddy of mine wrote this KAMA indicator for ThinkorSwim and a few of us in a circle of friends use it. Austin (who write it) has been trying to massage the code so that it will throw alerts when the trend changes, to be able to scan for trend changes on multiple time frames, and to perhaps put a watchlist column in place to be able to easily pick off tickers changing polarity.

Code: 
declare lower;
## KAMA (Kaufman Adaptive Moving Average) Settings
input price = close;
input KAMAfastLength = 2;
input KAMAslowLength = 30;
input effRatioLength = 10;
input mode = {default KAMA, AMA};

Assert(KAMAfastLength > 0, "'fast length' must be positive: " + KAMAfastLength);
Assert(KAMAslowLength > 0, "'slow length' must be positive: " + KAMAslowLength);

def direction;
def volatility;
def ER;

switch (mode) {
case KAMA:
    direction = AbsValue(price - price[effRatioLength]);
    volatility = Sum(AbsValue(price - price[1]), effRatioLength);
    ER = if volatility != 0 then direction / volatility else 0;
case AMA:
    direction = Double.NaN;
    volatility = Double.NaN;
    ER = AbsValue((price - Lowest(low, effRatioLength)) -
(Highest(high, effRatioLength) - price)) / (Highest(high,
effRatioLength) - Lowest(low, effRatioLength));
}

def FastSF = 2 / (KAMAfastLength + 1);
def SlowSF = 2 / (KAMAslowLength + 1);
def ScaledSF = ER * (FastSF - SlowSF) + SlowSF;
def AMA = CompoundValue(1, AMA[1] + Sqr(ScaledSF) * (price - AMA[1]),
price);

def MovAvgAdaptive = AMA;

## EMA Settings
input length = 34;
input displace = 0;

def AvgExp = ExpAverage(price[-displace], length);


##MACD

input fastLength = 12;
input slowLength = 26;
input macdLength = 9;
input averageType = AverageType.EXPONENTIAL;

def diff = reference MACD(fastLength, slowLength, macdLength, averageType).Diff;


## Volume
def Vol = volume(period = AggregationPeriod.DAY);

def avg30dayVol = Average(volume, 30);


def today = volume;
def avg30periodVol = Average(volume, 30);

def BuyVolumeSignal = (today / avg30periodVol) * 100;
def SellVolumeSignal = (today / avg30periodVol) * 100;


def condition1 = price > MovAvgAdaptive and price > AvgExp and BuyVolumeSignal > 15 is true;

def condition2 = price < MovAvgAdaptive and price < AvgExp and BuyVolumeSignal > 15;
;

plot trend = if condition1 is true then 1 else if condition2 >0 then -1 else 0;
trend.SetPaintingStrategy(PaintingStrategy.HISTOGRAM);
trend.DefineColor("Up", Color.UPTICK);
trend.DefineColor("Down", Color.DOWNTICK);
trend.AssignValueColor(if trend > 0 then trend.Color("Up") else if trend < 0 then trend.Color("Down") else GetColor(1));
#Zero.SetDefaultColor(GetColor(5));


input DoAlerts = Yes;
Alert(condition1, "Cainer Buy", Alert.BAR, Sound.Ring );
Alert(condition2, "Cainer Sell", Alert.BAR, Sound.Bell );

Any suggestions would be greatly appreciated, and of course you get to use this. We use it to trade /ES and /NQ futures quite successfully.
Click to expand...

Can you please explain the logic? as MACD calculated in the code does not appear to be used at all.
 
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