DAX KAMA–SMA Crossover System with Intrabar Trailing Stops

Summary

This DAX strategy uses a one-hour Kaufman Adaptive Moving Average (KAMA) crossing a 22-period simple moving average to generate long and short signals. It calculates signals on hourly bars but uses one-minute data to manage exits. The author describes a fixed stop loss and profit target, plus a trailing stop that begins after a specified favorable move and progressively raises the share of open profit it seeks to retain. Long and short trading can be disabled separately, and a lockout prevents re-entry on a still-valid hourly signal after an early exit.

The document explains the indicator settings and order-management logic, but provides no backtest results or evidence of profitability. The strategy is presented for the DAX, with contract sizing guidance for micro, mini, and standard contracts. Its hourly entry signal and one-minute exit management may behave differently across data feeds and execution conditions. The author also notes that the cooldown is intended to avoid acting on momentum that may have faded; this rationale is not supported by performance statistics.

Key ideas

• Hourly KAMA crossings above or below a 22-period simple moving average trigger long or short entries.
• One-minute data manages the stop, target, and trailing exit while the signal is calculated on hourly bars.
• The trailing stop activates after a favorable move and adjusts its retained-profit level in steps.
• A re-entry lockout waits for a new hourly bar after an early exit.
• The document gives implementation details but no backtest evidence of profitability.

Tags

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