Kaufman_Bands
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This script is a technical analysis tool designed for the MetaTrader platform to help traders identify price trends and potential entry points by smoothing out market "noise." It utilizes two primary mathematical concepts: the Kaufman Adaptive Moving Average (KAMA) and Bollinger Band logic.
Core Functionality
1. Adaptive Trend Smoothing (KAMA) Unlike standard moving averages that treat all price movements equally, this script uses an adaptive approach. It calculates an Efficiency Ratio—a measurement of how much a price moves in a straight line versus how much "noise" or erratic movement occurs in between.
- In High Noise: When the market is choppy and moving sideways, the indicator slows down to avoid giving false signals.
- In Clear Trends: When the price moves decisively in one direction, the indicator speeds up to react more quickly to the new trend.
2. Volatility Measurement (Bollinger Logic) The script also calculates a standard deviation based on the difference between current prices and the adaptive average. This creates an upper and lower "envelope" or boundary. By measuring how far the price deviates from the average, it helps define the volatility of the current market environment.
3. Signal Generation The tool provides visual cues for traders to identify potential momentum shifts:
- Trend Line: A primary line represents the adaptive average, helping users see the smoothed direction of the market.
- Upper and Lower Bands: These boundaries act as visual markers for overextended price action or significant volatility shifts.
- Upward/Downward Signals: The script identifies specific moments where the difference between the current value and the previous value exceeds a defined threshold. If the movement is positive and significant, it flags an upward signal; if it is negative and significant, it flags a downward signal.
Summary for the User
Essentially, this script filters out the "jitter" of the live market to show you the underlying trend. It automatically adjusts its sensitivity based on how much the market is moving, providing a smoothed path that reacts faster during strong trends while remaining steady during flat, noisy periods. The included signals highlight specific moments where the price has moved enough to potentially signify a new direction.
//+------------------------------------------------------------------+
//| Kaufman.mq4 |
//| Copyright © -2005, by konKop & wellx |
//| http://www.metaquotes.net |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2003-2004, by konKop, for MT GOODMAN,af,Mstera ,wellx "
#property link "http://www.metaquotes.net"
#property indicator_chart_window
#property indicator_buffers 5
#property indicator_color1 Sienna
#property indicator_color2 DeepSkyBlue
#property indicator_color3 Gold
#property indicator_color4 White
#property indicator_color5 White
//---- input parameters
extern int periodAMA=9;
extern int nfast=2;
extern int nslow=30;
extern double G=2.0;
extern double dK=2.0;
extern int BollingerPeriod=20;
extern double K_Bollinger=2.0;
//---- buffers
double kAMAbuffer[];
double kAMAupsig[];
double kAMAdownsig[];
double UpBand[];
double DownBand[];
//+------------------------------------------------------------------+
int k=0, cbars=0, prevbars=0, prevtime=0;
double slowSC,fastSC;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicators
SetIndexStyle(0,DRAW_LINE);
SetIndexStyle(1,DRAW_ARROW);
SetIndexArrow(1,159);
SetIndexStyle(2,DRAW_ARROW);
SetIndexArrow(2,159);
SetIndexStyle(3,DRAW_LINE);
SetIndexStyle(4,DRAW_LINE);
//SetIndexDrawBegin(0,nslow+nfast);
SetIndexBuffer(0,kAMAbuffer);
SetIndexBuffer(1,kAMAupsig);
SetIndexBuffer(2,kAMAdownsig);
SetIndexBuffer(3,UpBand);
SetIndexBuffer(4,DownBand);
IndicatorDigits(4);
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int i,pos=0;
double noise=0.000000001,AMA,AMA0,signal,ER;
double dSC,ERSC,SSC,ddK;
int counter_Boll;
double deviation;
if (prevbars==Bars) return(0);
//---- TODO: add your code here
slowSC=(2.0 /(nslow+1));
fastSC=(2.0 /(nfast+1));
cbars=IndicatorCounted();
if (Bars<=(periodAMA+2)) return(0);
//---- check for possible errors
if (cbars<0) return(-1);
//---- last counted bar will be recounted
if (cbars>0) cbars--;
pos=Bars-periodAMA-2;
AMA0=Close[pos+1];
while (pos>=0)
{
kAMAupsig[pos]=NULL;
kAMAdownsig[pos]=NULL;
if(pos==Bars-periodAMA-2) AMA0=Close[pos+1];
signal=MathAbs(Close[pos]-Close[pos+periodAMA]);
noise=0.000000001;
for(i=0;i<periodAMA;i++)
{
noise=noise+MathAbs(Close[pos+i]-Close[pos+i+1]);
};
ER =signal/noise;
dSC=(fastSC-slowSC);
ERSC=ER*dSC;
SSC=ERSC+slowSC;
AMA=AMA0+(MathPow(SSC,G)*(Close[pos]-AMA0));
kAMAbuffer[pos]=AMA;
deviation=0;
for (counter_Boll=0;counter_Boll<BollingerPeriod;counter_Boll++) deviation=deviation+MathPow(Close[pos+counter_Boll]-kAMAbuffer[pos+counter_Boll],2);
deviation=MathSqrt(deviation/BollingerPeriod);
UpBand[pos]=AMA+deviation*K_Bollinger;
DownBand[pos]=AMA-deviation*K_Bollinger;
ddK=(AMA-AMA0);
if ((MathAbs(ddK) > (dK*Point)) && (ddK > 0)) kAMAupsig[pos] =AMA;
if ((MathAbs(ddK)) > (dK*Point) && (ddK < 0)) kAMAdownsig[pos]=AMA;
AMA0=AMA;
pos--;
};
//----
prevbars=Bars;
return(0);
}
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