Lucas and Saccucci showed that exponentially weighted moving average (EWMA) control charts can be designed to quickly detect either small or large shifts in the mean of a sequence of independent observations. But a single EWMA chart cannot perform well for small and large shifts simultaneously. Furthermore, in the worst-case situation, this scheme requires a few observations to overcome its initial inertia. The main goal of this article is to suggest an adaptive EWMA (AEWMA) chart that weights the past observations of the monitored process using a suitable function of the current “error.” The resulting scheme can be viewed as a smooth combination of a Shewhart chart and an EWMA chart. A design procedure for the new control schemes is suggested. Comparisons of the standard and worst-case average run length profiles of the new scheme with those of different control charts show that AEWMA schemes offer a more balanced protection against shifts of different sizes.