Filtered Adaptive Moving Average for Trend-State Signals

Summary

This note describes a histogram version of an adaptive moving average based on Perry Kaufman’s KAMA and an update by Vitali Apirine. The update accounts for where the close sits within the high–low range when adapting the average. The indicator combines the adaptive average with KAMA and adds a filter intended to reduce how often slope changes switch the displayed trend state.

The suggested use is to treat changes in histogram color as signals, with the filter intended to reduce false changes and whipsaws. The document gives a conceptual explanation rather than performance evidence: it reports no test results, parameter evaluation, or rules for entering and exiting positions beyond the color change. The signals therefore should not be taken as evidence of profitability, and the note does not explain how to manage risk or validate the approach across markets and timeframes.

Key ideas

• The adaptive average modifies KAMA by considering the close’s location within the high–low range.
• The described system combines the updated adaptive average with KAMA.
• A filter is added to reduce frequent changes in the slope-based trend display.
• Histogram color changes are proposed as trading signals.
• The note provides no backtest results or detailed risk-management rules.

Tags

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