The trigger is a KAMA line crossing the 22-period SMA, taken long or short. After an entry, one trade is allowed per signal cycle, which resets each day and after a trade closes. Exits use a 50 pip stop, a 200 pip target and a trailing lock that keeps a growing share of open profit.
Best run of 5. DAX 40, 4 hours, spread 3, from run pf:2026-09-15-DAX40-4h.tsv:1.
| Period | Up to 2026-09-15 |
| Instrument | DAX 40, 4 hours |
| Spread | 3 points |
| Contracts | 1 |
| Starting capital | 1,000,000 |
| Costs | Spread only. Commissions and overnight financing are not included. |
| Bars | Up to 200,000 bars, fewer where the instrument has less history |
| Last tested | 2026-09-16 |
| positionSize Contracts per trade | 1 |
| allowLong 1 = long trades allowed, 0 = banned | 1 |
| allowShort 1 = short trades allowed, 0 = banned | 1 |
| takeProfitPoints Fixed target in pips | 200 |
| stopLossPoints Fixed stop in pips | 50 |
| kamaPeriod KAMA efficiency ratio length | 2 |
| kamaFastPeriod KAMA fastest smoothing length | 2 |
| kamaSlowPeriod KAMA slowest smoothing length | 30 |
| slowPeriod SMA length | 22 |
| trailStartPoints Open profit in pips before the trailing stop starts | 10 |
| baseProfitShare Share of open profit locked in at the start | 0.1 |
| trailStepPoints Each chunk of this many pips raises the share | 6 |
| profitShareStep Share increase per chunk, relative to the base | 0.1 |
| roundingOffset -0.5 makes round() round down | -0.5 |
| profitShareCap Upper cap on the locked share | 100 |
| minDistancePips Closer than this, exit at market instead of a pending order | 7 |
Every run
| Market | Timeframe | PF | Trades | Win % | Net | Max DD |
|---|---|---|---|---|---|---|
| DAX 40Best run | 4 hours | 1.21 | 548 | 58.58 | 2,336 EUR | -1,352 |
| Dow Jones | Daily | 1.15 | 736 | 48.78 | 2,785 EUR | -1,212 |
| Silver | 4 hours | 0.40 | 7 | 57.14 | -453 USD | -969 |
| Gold | Daily | n/a | 28 | 60.71 | 311 EUR | -217 |
| S&P 500 | 4 hours | n/a | 5 | 80.00 | 189 EUR | -101 |
Charts
Above 1.0 made money, below 1.0 lost money.
The code
Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.
// ============================================================ // KAMA SMA Cross // ProRealAlgos Strategy Library | prorealalgos.com // Type: Trend // Direction: Long & short // Timeframe tested: 4 hours // ============================================================ // --- Settings --- DEFPARAM CumulateOrders = true DEFPARAM PreloadBars = 10000 // --- Parameters --- positionSize = 1 // contracts per trade allowLong = 1 // 1 = long trades allowed, 0 = banned allowShort = 1 // 1 = short trades allowed, 0 = banned takeProfitPoints = 200 // fixed target in pips stopLossPoints = 50 // fixed stop in pips kamaPeriod = 2 // KAMA efficiency ratio length kamaFastPeriod = 2 // KAMA fastest smoothing length kamaSlowPeriod = 30 // KAMA slowest smoothing length slowPeriod = 22 // SMA length trailStartPoints = 10 // open profit in pips before the trailing stop starts baseProfitShare = 0.1 // share of open profit locked in at the start trailStepPoints = 6 // each chunk of this many pips raises the share profitShareStep = 0.1 // share increase per chunk, relative to the base roundingOffset = -0.5 // -0.5 makes round() round down profitShareCap = 100 // upper cap on the locked share minDistancePips = 7 // closer than this, exit at market instead of a pending order // --- Indicators --- minStopDistance = minDistancePips * PipSize IF NOT OnMarket THEN barsInTrade = 0 ELSE barsInTrade = barsInTrade + 1 ENDIF // Kaufman adaptive moving average, built by hand fastestAlpha = 2 / (kamaFastPeriod + 1) slowestAlpha = 2 / (kamaSlowPeriod + 1) IF BarIndex >= (kamaPeriod + 1) THEN priceChange = abs(close - close[kamaPeriod]) pathLength = Summation[kamaPeriod](abs(close - close[1])) efficiencyRatio = priceChange / pathLength kamaAlpha = SQUARE(efficiencyRatio * (fastestAlpha - slowestAlpha) + slowestAlpha) kamaValue = (kamaAlpha * close) + ((1 - kamaAlpha) * kamaValue[1]) ELSE kamaValue = close ENDIF slowMA = Average[slowPeriod, 0](close)
78 more lines: the entry and exit rules.
Read this first
Questions
Yes. The stop, target and trailing lock are built in, and it trades 1 contract with no pyramiding.
DAX 40 4 hours gave EUR 2,335.90 over 548 trades at profit factor 1.21. Dow Jones daily was similar at 1.15, while Silver 4 hours lost money.
At 1 contract the DAX 40 run had a max drawdown of EUR 1,351.90. That is more than half the net profit.
KAMA crosses on 4 hour DAX 40 bars happen often enough for a useful sample while the 50 pip stop still has room to work.
Related
The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.
