Adaptive KAMA Trend Strategy with Filters and Stops

Summary

This strategy uses Kaufman’s Adaptive Moving Average (KAMA), whose smoothing responds to an efficiency ratio: it adjusts faster when price movement is more directional and slower when movement is choppy. Long and short signals are based on KAMA rising or falling over configurable persistence windows. An optional long-term SMA filter requires price to be above the average for longs or below it for shorts; users can also restrict trade direction and set a minimum gap between entries.

The shown settings include percentage-of-equity sizing, commission and slippage assumptions, and optional fixed and delayed trailing stops. The source excerpt ends during order logic, so the full exit and stop implementation cannot be assessed. Although the page includes a strategy report navigation label, it supplies no actual performance results or tested market and timeframe in the excerpt. The configurable controls describe a framework rather than evidence of robustness; performance may depend on the chosen lengths, filters, costs, and market conditions.

Key ideas

• KAMA adjusts its smoothing based on the ratio of net price change to accumulated price movement.
• Signals require KAMA to rise or fall for a configurable number of bars.
• An optional long-term SMA filter aligns long and short trades with the broader price trend.
• The strategy offers direction controls, entry cooldown, and optional fixed and delayed trailing stops.
• The excerpt omits the complete order logic and reports no performance evidence.

Tags

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