KAMA Trend Strategy with SMA, RSI, and ATR Risk Controls

Summary

This strategy uses the direction of Kaufman’s Adaptive Moving Average (KAMA) as its trend signal. A long setup requires KAMA to rise over a chosen period, price to be above a simple moving average regime filter, and RSI to exceed a selected midpoint. Short setups apply the reverse conditions. Users can select long, short, or both directions, although the published default is long-only.

Position size is calculated from a percentage of strategy equity and an ATR-based stop distance; the stop is placed at the corresponding multiple of ATR from the entry price. The script closes an opposite position when a reversal condition appears and includes alerts when KAMA’s rising or falling state changes. The document explains the rules and provides source code, but offers no performance results or market-specific validation. Its sizing formula enforces a minimum of one unit, so actual loss may exceed the intended risk when that unit is too large; trading costs and execution can also affect outcomes.

Key ideas

• KAMA rising or falling defines the directional trend condition.
• A simple moving average filter and RSI midpoint condition must also confirm each entry.
• The strategy sizes positions using equity risk and an ATR-based stop distance.
• Reversal conditions close the opposite position, while alerts track changes in KAMA direction.
• No performance evidence is provided, and the minimum position size can exceed the intended risk budget.

Tags

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