Kaufman Adaptive Moving Average Breakout with a Volatility Entry Filter

Summary

This long-only strategy uses Kaufman’s Adaptive Moving Average (KAMA) as a trend reference and adds a standard-deviation filter to its entry. It buys when price crosses above KAMA plus a chosen multiple of recent price standard deviation, then closes the position when price crosses below KAMA. The code allows adjustment of KAMA responsiveness, the volatility lookback and multiplier, and the underlying price series. It also includes optional chart labels and a plot of the upper entry band.

The accompanying description says the approach is intended to capture strong upside momentum and reports that the author’s tests favored daily charts, particularly in cryptocurrency markets. It supplies no performance figures, test period, asset list, or comparison benchmark, so those claims cannot be assessed from the document. The strategy takes only long positions, holds one position at a time, and does not pyramid; the listed allocation and commission assumptions also affect any reproduction of its reported behavior.

Key ideas

• KAMA adapts its smoothing to the relationship between directional movement and total price movement.
• Entries require a price crossover above KAMA plus a standard-deviation buffer.
• The position exits when price crosses below KAMA.
• The strategy is long-only and limits itself to a single position.
• The author reports a preference for daily charts and crypto assets, without presenting supporting performance data.

Tags

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