KAMA: Kaufman Adaptive Moving Average

In dlastor/FinMarkets: FinMarkets - A collection of indicators, metrics, classifiers, and machine learning functions.

Description

Kaufman Adaptive Moving Average

Usage

KAMA(HLC, nER = 10, nFast = 2, nSlow = 30, priceMethod = "Close")

Arguments

HLC	an xts object containing High, Low, and Close price data
nER	a parameter for the Kaufman efficiency ratio lookback period
nFast	the fast limit of the adaptive EMA
nSlow	the slow limit of the adaptive EMA
priceMethod	use "Close" for the close, any other string will result in Ehlers's (H+L)/2 method.

Value

an xts object

References

http://www.mesasoftware.com/Seminars/TradeStation%20World%2005.pdf

https://github.com/IlyaKipnis/DSTrading

dlastor/FinMarkets documentation built on May 13, 2019, 6:13 p.m.