Adaptive Moving Average with a Standard Deviation Noise Filter

Summary

The indicator combines Kaufman’s Adaptive Moving Average with a statistical filter intended to suppress small changes. The adaptive average varies its smoothing speed according to price movement: it responds more quickly in directional conditions and more slowly when prices are choppy. The filter compares the latest change in the average with a threshold based on the recent standard deviation of changes; if the movement falls below that threshold, the output holds its previous value.

The line is colored by direction, with a neutral warmup phase and its previous directional color retained during flat periods. The document lists a shared lookback period, fast and slow smoothing settings, and a filter multiplier; raising smoothing or filtering can delay signals, while setting the multiplier to zero disables the filter. This describes an indicator calculation, not a complete trading strategy. It provides implementation details and parameter defaults but no backtest, market-specific evaluation, or evidence that filtering improves trading results. The thresholding behavior and warmup requirements may affect signal timing.

Key ideas

• The adaptive average changes its smoothing speed to track directional price movement more closely and dampen choppy movement.
• A standard deviation threshold holds the filtered output steady when the latest change is small.
• The filter multiplier controls how much movement is suppressed, and zero disables the filter.
• The line’s color represents its direction and retains its last directional state when flat.
• The document explains indicator construction but supplies no evidence of trading performance or a full entry and exit strategy.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.