Trend Entries Combining KAMA, Kalman Smoothing, and Market Structure

Summary

This strategy combines a Kaufman Adaptive Moving Average with Kalman smoothing to estimate direction, then uses breaks of recent swing highs or lows to confirm entries. A break is classified as a continuation break or a change of character based on the prior structure trend. Traders can require either type, one type alone, or both within a configurable number of bars of a smoothed trend flip. Breaks may be confirmed by closing prices or wicks.

The script supports long and short trades, optional closure on an opposing signal, and stop choices based on swing structure, ATR distance, or a percentage of price, with an ATR fallback when a structure stop is invalid. Risk-to-reward targets, chart annotations, alerts, and a time-limited backtest window are configurable. The source shows parameter defaults and implementation logic, but the supplied excerpt omits much of the order and exit code and includes no performance results. Its backtest settings also include substantial slippage and no commission, so results would depend on settings, market, and execution assumptions.

Key ideas

• KAMA adapts its smoothing to price efficiency, and a Kalman filter further smooths the trend estimate.
• Swing breaks are labeled as continuation breaks or changes of character according to the prior structure direction.
• Entries require a trend flip and a qualifying structure event within a configurable synchronization window.
• Stops can use structure levels, ATR, or a percentage distance, with optional ATR fallback.
• The document describes configurable rules but provides no evidence that the strategy is profitable.

Tags

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