Kaufman adaptive moving average
Average that speeds up when the price trends and slows down when it chops.
Inputs
| Name | Type | Default | Range |
|---|---|---|---|
| source | source | close | |
| period | int | 10 | 1 to 5000 |
| fast_period | int | 2 | 1 to 5000 |
| slow_period | int | 30 | 1 to 5000 |
Outputs
| Name | Type | Required | Description |
|---|---|---|---|
| kama | value | Optional | color theme.accent, style line, width 1 |
- Warm-up
- period bars (10 at the defaults)
- Repaints
- No
- Parity
- TA-Lib, within 1e-9
Formula
sc = (ER * (fast_sc - slow_sc) + slow_sc)^2, with fast_sc = 2 / (fast_period + 1) and slow_sc = 2 / (slow_period + 1)
KAMA[i] = KAMA[i-1] + sc * (x[i] - KAMA[i-1]), seeded with x[period-1]
The first period values are left empty. After a gap the average starts again.