Combining Supertrend and KAMA for Long-Only Trend Following

Summary

This long-only trend strategy combines Supertrend direction with Kaufman’s Adaptive Moving Average (KAMA). It enters when Supertrend indicates an uptrend and the close is above KAMA, then closes when Supertrend turns down and price falls below KAMA. The described setup uses a 21-period KAMA and a Supertrend based on a 10-period ATR with a factor of 3. The source specifies commission and slippage assumptions, while the published settings identify daily BTC/USDT futures data spanning several years.

The document reports no return, drawdown, or comparison statistics, so its favorable descriptions of reliability and risk control are not supported by presented evidence. The exit requires both bearish conditions, which may delay a close, and the code does not show a separate price-based stop. The write-up flags whipsaws in choppy markets, lag near reversals, parameter sensitivity, and slippage. It suggests volatility and volume filters, trailing stops, and market-regime checks as possible extensions, without showing that these improve results.

Key ideas

• Long entries require both an uptrend reading from Supertrend and a close above KAMA.
• The exit requires Supertrend to turn bearish while price is below KAMA.
• The source specifies daily BTC futures testing and includes commission and slippage assumptions.
• No performance statistics are reported, and the exit conditions may lag a fast reversal.
• Choppy conditions, parameter choices, and execution costs are identified as limitations.

Tags

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