MESA Adaptive Moving Average and Its FAMA Crossover Signal

Summary

The document explains the MESA Adaptive Moving Average (MAMA), which varies its smoothing in response to changes in the measured phase of price movement. A Hilbert-transform process estimates that phase change, and the resulting adaptive alpha lets MAMA respond quickly to some price shifts while retaining its level as conditions evolve. The provided indicator procedure also constrains its estimated cycle period and smooths intermediate calculations.

It derives a Following Adaptive Moving Average (FAMA) from MAMA using half of MAMA’s alpha. This makes FAMA move less vertically while stepping in time with MAMA; the article argues that their crossings may therefore occur mainly after a substantial directional change, suggesting a crossover signal with fewer whipsaws. The document provides implementation code but no test results or evidence for that claim. It does not specify markets, bar intervals, entry and exit rules, or risk controls, so the crossover should be treated as an indicator concept rather than a fully evaluated trading system.

Key ideas

• MAMA adapts its smoothing according to phase changes estimated with a Hilbert-transform process.
• Its adaptive alpha is intended to combine quick responses with slower retention of the average level.
• FAMA applies a lower alpha to MAMA, producing a smoother companion line.
• The proposed signal interprets MAMA and FAMA crossings as possible signs of major directional change.
• The article provides code but no empirical evidence, market specification, or complete trading rules.

Tags

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