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Hi,
I'm working with KAMA in my trading strategy and I look different KAMA values in different backtests for same bar.
KAMA values can be quite different depending on the start date.
I searched KAMA calculation method and formula is using Prior KAMA;
Current KAMA = Prior KAMA + SC x (Price - Prior KAMA)
So when calculating first KAMA we have no Prior KAMA and ve have to assign value for this.
I think QC calculation method assign “0” and this is farthest value to be.
My suggestion is using SMA(period) instead of zero and minimize the margin of error.
Thanks
Bahadır Uzel
Hi guys,
This article recommended to using SMA for first KAMA calculation;
……………
Step 3: KAMAWith the Efficiency Ratio (ER) and Smoothing Constant (SC), we are now ready to calculate Kaufman's Adaptive Moving Average (KAMA). Since we need an initial value to start the calculation, the first KAMA is just a simple moving average. The following calculations are based on the formula below.
Current KAMA = Prior KAMA + SC x (Price - Prior KAMA)
…………..
"https://school.stockcharts.com/doku.php?id=technical_indicators:kaufman_s_adaptive_moving_average"
Louis Szeto
Hi Bahadir
The first KAMA indicator value would be the Price. Please refer to this GH file for reference.
Best
Louis
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Bahadır Uzel
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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