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Strategies / Breakout / KAMA Standard Deviation Breakout

KAMA Standard Deviation Breakout

The system buys when close crosses above KAMA plus 0.5 times the 20-bar standard deviation of close. It sells the long when close crosses below KAMA, and it uses no stop or target.

BreakoutLong onlySwingDow JonesDaily
1.51Profit factor
24,192Net profit EUR
32.41%Win rate
540Trades
-5,854Max drawdown
44.80Avg trade

Best run of 14. Dow Jones, Daily, spread 3, from run pf:2026-10-04-DOW30-D.tsv:3.

Entry rules, long

  2. Only one long position is open at a time.

Exit rules

  1. The long closes at market when the close crosses below KAMA(21).

Test conditions

PeriodUp to 2026-10-04
InstrumentDow Jones, Daily
Spread3 points
Starting capital1,000,000
CostsSpread only. Commissions and overnight financing are not included.
BarsUp to 200,000 bars, fewer where the instrument has less history
Last tested2026-10-04

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest runDaily1.51 54032.4124,192 EUR-5,854
EUR/USD2 minn/a 7,60918.43247,922 USD-178,388
Nikkei 225Dailyn/a 41229.8528,242 USD-10,483
Nikkei 2254 hoursn/a 91429.9827,451 USD-7,165
SilverDailyn/a 39628.0327,109 USD-22,188
Silver4 hoursn/a 1,08528.0223,048 USD-16,704
Nasdaq 100Dailyn/a 41634.1314,412 EUR-4,881
Nasdaq 1004 hoursn/a 1,12132.569,142 EUR-4,523
DAX 40Dailyn/a 52732.649,036 EUR-4,283
Dow Jones1 hourn/a 1,43730.418,648 EUR-6,339
DAX 404 hoursn/a 1,10130.977,775 EUR-2,881
Gold4 hoursn/a 1,02233.462,952 EUR-1,170
S&P 500Dailyn/a 57532.002,049 EUR-1,084
GoldDailyn/a 48528.662,003 EUR-1,404

Charts

Results by run

Top 10 of 14 runs. The full list is in the table above.

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// KAMA Standard Deviation Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE kama = 0

noisebar = abs(close - close[1])

23 more lines: the entry and exit rules.

Setup

How to load it

  1. Copy the code with the copy button on the code block.
  2. In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
  3. Paste the code, give the system a name and save it.
  4. Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

KAMAStandard Deviation
Longer historyRe-run on up to 1,000,000 barsDow Jones · Daily · older data 0.00 EUR

Dow Jones had no history beyond the standard run, so both runs used 14,000 bars.

Dow Jones · Daily

Bars available14,000
Net, standard 200,000-bar run24,191.80 EUR
Net, long run24,191.80 EUR
Net on the older data alone0.00 EUR
Read this firstKnown weaknesses2 points
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run KAMA Standard Deviation Breakout in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 14 market and timeframe combinations. The best run was Dow Jones, Daily, with a profit factor of 1.51 over 540 trades.

How large was the drawdown?

The best run had a maximum drawdown of 5,854 EUR at the tested position size, against a net result of 24,192 EUR.

Does it trade long, short or both?

It only takes long trades.

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Get the full rules, the complete code and the ProRealAlgos portfolio as a member.

Copy trading on US indices is available to ProRealAlgos members as spots open.

Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.comStatsDocs