Adaptive KAMA Trend Following with SMA Confirmation and Delayed Stops
Summary
This strategy uses Kaufman's Adaptive Moving Average (KAMA), whose responsiveness varies with the efficiency of recent price movement. It signals long when KAMA has been rising over a chosen persistence window and short when it has been falling. An optional long-term simple moving average filter permits trades only when price is on the matching side of the average. A bar-based cooldown spaces entries, and users can select long, short, or both directions.
Risk controls include an optional fixed percentage stop and a trailing stop that becomes active only after a configurable delay from entry. The page explains the indicator logic and suggests daily charts for liquid, trending instruments, but it presents no backtest statistics or systematic evidence of profitability. Parameter choices, market regime, and chart timeframe may affect results; the delayed trail is intended to give trades room to develop before the stop follows price. The accompanying plots visualize KAMA direction, the long-term average, and entry and exit markers.
Key ideas
- KAMA adapts its smoothing speed to whether price moves efficiently or erratically.
- Persistent KAMA rises and falls define directional signals, optionally filtered by price relative to a long-term SMA.
- A bar cooldown limits how close together new entries can occur.
- Fixed percentage stops and delayed trailing stops provide configurable exit controls.
- The document explains the method but gives no backtest results establishing its performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.