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Strategies / Trend / KAMA Standard Deviation Filter

KAMA Standard Deviation Filter

The system buys when KAMA(14, 2, 20) rises by more than the 14-bar standard deviation of its bar-to-bar change. It sells the long when KAMA falls by more than 0.5 times that standard deviation.

TrendLong onlySwingNasdaq 100Daily
1.92Profit factor
16,214Net profit EUR
43.33%Win rate
210Trades
-3,663Max drawdown
77.21Avg trade

Best run of 20. Nasdaq 100, Daily, spread 3, from run pf:2026-10-12-NAS100-D.tsv:2.

Entry rules, long

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

Exit rules

  1. The long closes at market when KAMA falls by more than 0.5 times the 14-bar standard deviation of its change.

Test conditions

PeriodUp to 2026-10-12
InstrumentNasdaq 100, 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 tested2026-10-12

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Nasdaq 100Best runDaily1.92 21043.3316,214 EUR-3,663
Gold1 hour1.23 2,35735.213,002 EUR-598
USD/JPY1 hour1.17 2,63136.26933,950 USD-176,670
USD/JPYDailyn/a 25239.68765,930 USD-559,650
USD/JPY30 minn/a 3,75834.17432,530 USD-184,870
EUR/USDDailyn/a 22540.8972,896 USD-50,762
Nikkei 225Dailyn/a 21941.5540,373 USD-13,193
Nikkei 2254 hoursn/a 50138.1226,843 USD-8,502
Dow JonesDailyn/a 27742.9623,626 EUR-8,367
Brent CrudeDailyn/a 9141.7611,481 EUR-8,477
DAX 4030 minn/a 3,89033.789,775 EUR-4,032
Dow Jones1 hourn/a 83837.359,414 EUR-8,166
DAX 401 hourn/a 2,28137.229,199 EUR-4,011
Nasdaq 1004 hoursn/a 61040.007,994 EUR-6,610
DAX 40Dailyn/a 29643.927,722 EUR-5,009
Nasdaq 1001 hourn/a 2,57936.456,416 EUR-4,923
GoldDailyn/a 24837.103,394 EUR-859
S&P 500Dailyn/a 29439.122,870 EUR-824
Gold4 hoursn/a 59038.982,738 EUR-1,422
S&P 5004 hoursn/a 61640.261,388 EUR-1,325

Charts

Results by run

Top 10 of 20 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

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

DEFPARAM CumulateOrders = false

ONCE kama = 0

mom = ABS(close - close[14])
volat = summation[14](ABS(close - close[1]))

25 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
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 Filter 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 20 market and timeframe combinations. The best run was Nasdaq 100, Daily, with a profit factor of 1.92 over 210 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,663 EUR at the tested position size, against a net result of 16,214 EUR.

Does it trade long, short or both?

It only takes long trades.

Related

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Volatility Spike Regression Long

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Also a trend strategy.

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See how ProRealAlgos combines strategies like this into one automated portfolio.

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