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AMMA Smoothing with a 25-Day Modified Moving Average Filter

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Summary

The document describes an AMMA smoothing calculation that recursively combines the current close with the prior AMMA value, weighted by a configurable period. It then outlines a 25-day Average Modified Moving Average filter: multiply the AMMA value by 24, add the current close, and divide by 25. This is presented as a moving-average-based price filter, not as a full entry or exit strategy.

The note attributes the filter definition to a futures trading reference, but provides no market, instrument, test period, parameter comparison, or performance results. Consequently, it explains the calculation but offers no evidence that the filter predicts returns or improves trading outcomes. Its practical behavior will depend on the chosen AMMA period and the price series to which it is applied.

Key ideas

  • AMMA recursively blends the current close with the prior AMMA value.
  • The smoothing weight is determined by the selected AMMA period.
  • A 25-day modified moving average filter is applied to AMMA and the current close.
  • The document gives no backtest results or evidence of predictive performance.

Tags

Technical indicatorsFutures

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