AlphaTrend and KAMA Crossover Trading with Partial Profit Taking

Summary

This trend-following system combines AlphaTrend, which uses ATR-based channels and MFI or RSI to indicate direction, with Kaufman’s Adaptive Moving Average (KAMA). It enters long when KAMA crosses above AlphaTrend and short when it crosses below. A configurable profit threshold triggers a partial exit that closes half of the position, while position size is set as a percentage of account equity. The published defaults include a 14-period AlphaTrend lookback, a 21-period KAMA, and a 10% partial-profit threshold.

The document supplies implementation code and a BTC/USDT futures backtest configuration for June 2024, using two-hour bars with a 15-minute base period, but gives no performance statistics. It identifies false signals in choppy markets, lag at reversals, parameter sensitivity, and the possibility that partial exits limit gains during strong trends. It proposes volatility filters, dynamic stops, parameter adaptation, and confirmation across timeframes as ideas for further investigation; these are suggestions rather than tested improvements.

Key ideas

• AlphaTrend uses ATR-based channels and MFI or RSI to estimate market direction.
• KAMA crossing AlphaTrend generates the stated long and short signals.
• The example closes half the position after a preset profit threshold and sizes positions as a percentage of equity.
• The strategy may produce false signals in choppy conditions and react late to reversals.
• A short backtest configuration is given, but no results demonstrate profitability or robustness.

Tags

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