Comparing Two Adaptive Trends by Perry J. Kaufman
Walk-forward testing and Kaufman’s adaptive moving average try to do the same thing, but in very different ways.
Does it make sense to use the same 40-day moving average for the past 30 years? Many traders don’t think so. Ideally, we would like to change the trend speed to accommodate different price patterns, sometimes changing direction more often, other times grinding out a slow move up or down ...