MOST Trend Following with KAMA and Trailing Stops

Summary

This document describes a trend following system that uses a selected moving average, with KAMA as the default, and a percentage based MOST stop. The stop trails below the moving average in an upward direction and above it in a downward direction. A crossover of the moving average and stop generates a long entry or closes the long position. Although the prose discusses long and short entries, the supplied strategy code only opens longs and closes them on the opposite signal.

The document explains that combining moving averages may smooth prices and that a trailing stop can follow a trend. It identifies fixed stop distance and moving average lag as risks, especially during sharp reversals, and suggests testing stop percentages, adapting them to volatility, and adjusting the averaging period. It includes parameter choices and a BTC/USDT futures backtest configuration, but reports no performance results. The claims about fewer false signals and robustness are not supported by reported comparative evidence.

Key ideas

• The selected moving average, KAMA by default, is compared with a percentage offset MOST stop to generate signals.
• An upward trailing stop is constrained to rise, while a downward trailing stop is constrained to fall.
• The code enters long on an upward crossover and closes the long on a downward crossover.
• A fixed stop percentage and moving average lag can leave the strategy exposed during rapid reversals.
• The document provides backtest settings but no performance statistics.

Tags

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