Kaufman Adaptive Moving Average Breakout with a Standard Deviation Filter

Summary

This long-only trend-following strategy calculates Kaufman’s Adaptive Moving Average (KAMA) from price, adjusting its smoothing according to the ratio of directional movement to total movement. It enters when price crosses above KAMA plus a multiple of the rolling standard deviation, requiring an upward breakout with a volatility-based buffer. It closes the position when price crosses below KAMA. The script permits one position at a time and does not pyramid.

The accompanying description says the setup is intended to filter weak signals and is best suited to daily charts, particularly volatile crypto markets. It reports that claim as the author’s testing experience, but gives no performance figures, comparison, sample period, or asset list. The strategy has no stated stop-loss or short entry, and the standard deviation filter applies only to entry. Results may therefore depend heavily on asset, timeframe, costs, and parameter choices.

Key ideas

• KAMA adapts its smoothing based on price movement relative to recent noise.
• Long entries require price to cross above KAMA plus a standard deviation buffer.
• The exit occurs when price crosses back below KAMA.
• The strategy is long-only and permits a single open position.
• The author favors daily crypto charts, but provides no quantified evidence or detailed test methodology.

Tags

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