Strategies / Trend / KAMA Trend Filter With ATR Stop

KAMA Trend Filter With ATR Stop

The system buys when KAMA is rising, price is above SMA(200) and RSI(14) is above 50, and sells the long when KAMA is falling, price is below SMA(200) and RSI(14) is below 50. A stop sits 2.5 times ATR(14) from entry.

TrendLong onlySwingUSD/JPYDaily

3.91Profit factor

1,285,800Net profit USD

0.57%Win rate

1,935Trades

-281,260Max drawdown

665Avg trade

Best run of 41. USD/JPY, Daily, spread 1, from run pf:2026-10-10-USDJPY-D.tsv:1.

Entry rules, long

The close is above the 200-period simple moving average.
RSI(14) is above 50.
No long position is already open.

Exit rules

That exit also requires the close below the 200-period SMA and RSI(14) below 50.
A protective stop sits 2.5 times ATR(14) from the fill price.

Test conditions

Period	Up to 2026-10-10
Instrument	USD/JPY, Daily
Spread	1 points
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	2026-10-10

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
USD/JPYBest run	Daily	3.91	1,935	0.57	1,285,800 USD	-281,260
Nasdaq 100	30 min	1.35	1,455	24.47	18,041 EUR	-4,052
S&P 500	30 min	1.26	1,460	25.21	3,392 EUR	-658
Nikkei 225	Daily	n/a	69	33.33	62,406 USD	-12,202
Nikkei 225	30 min	n/a	1,465	23.00	33,377 USD	-11,676
Nikkei 225	4 hours	n/a	186	29.03	33,019 USD	-10,611
Silver	4 hours	n/a	206	25.24	29,269 USD	-25,041
Nikkei 225	1 hour	n/a	733	25.51	25,503 USD	-16,369
Dow Jones	Daily	n/a	93	34.41	25,288 EUR	-7,652
Nasdaq 100	Daily	n/a	76	39.47	24,223 EUR	-3,806
Nikkei 225	5 min	n/a	1,522	21.68	17,473 USD	-11,108
Nikkei 225	10 min	n/a	1,530	21.44	16,172 USD	-11,903
Nasdaq 100	4 hours	n/a	232	31.47	14,644 EUR	-4,959
DAX 40	Daily	n/a	106	29.25	13,211 EUR	-5,535
Dow Jones	1 hour	n/a	287	26.13	13,020 EUR	-6,260
Nikkei 225	2 min	n/a	1,595	20.88	12,938 USD	-8,424
Nasdaq 100	1 hour	n/a	966	23.60	12,554 EUR	-5,504
Nasdaq 100	15 min	n/a	1,444	24.52	12,390 EUR	-3,497
DAX 40	30 min	n/a	1,476	23.78	11,770 EUR	-4,743
Dow Jones	30 min	n/a	584	24.83	11,513 EUR	-6,081
DAX 40	4 hours	n/a	221	31.67	10,925 EUR	-3,217
DAX 40	1 hour	n/a	850	26.12	10,154 EUR	-3,748
Dow Jones	4 hours	n/a	73	42.47	9,746 EUR	-5,548
US Crude Oil	Daily	n/a	86	26.74	6,596 EUR	-6,356
Nasdaq 100	5 min	n/a	1,499	21.95	6,160 EUR	-3,043
S&P 500	Daily	n/a	90	38.89	5,821 EUR	-935
Nasdaq 100	3 min	n/a	1,447	22.46	5,328 EUR	-3,363
Nasdaq 100	10 min	n/a	1,477	21.06	4,382 EUR	-3,336
Gold	Daily	n/a	85	25.88	3,871 EUR	-1,260
Gold	1 hour	n/a	832	24.76	2,988 EUR	-1,101
S&P 500	1 hour	n/a	899	27.47	2,917 EUR	-797
S&P 500	4 hours	n/a	237	30.38	2,856 EUR	-728
Gold	30 min	n/a	1,397	24.05	2,068 EUR	-1,453
Gold	4 hours	n/a	233	23.18	1,750 EUR	-1,667
Gold	5 min	n/a	1,532	21.61	1,715 EUR	-634
S&P 500	15 min	n/a	1,467	22.84	1,576 EUR	-650
Gold	15 min	n/a	1,539	20.01	1,383 EUR	-826
Gold	3 min	n/a	1,514	21.93	1,287 EUR	-661
Gold	10 min	n/a	1,556	20.31	1,105 EUR	-806
S&P 500	10 min	n/a	1,499	21.95	920 EUR	-676
Gold	2 min	n/a	1,527	22.07	804 EUR	-625

Charts

Results by run

Top 10 of 41 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 Trend Filter With ATR Stop
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Trend
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE kama = 0

fastest = 2 / (5 + 1)
slowest = 2 / (50 + 1)

39 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
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".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

KAMAATRRSISMA

Longer historyRe-run on up to 1,000,000 barsUSD/JPY · Daily · older data 0.00 USD

USD/JPY had no history beyond the standard run, so both runs used 12,000 bars.

USD/JPY · Daily

Bars available	12,000
Net, standard 200,000-bar run	1,285,800.00 USD
Net, long run	1,285,800.00 USD
Net on the older data alone	0.00 USD

Read this firstKnown weaknesses2 points

Results include the spread only. Commissions and overnight financing are not included.
The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run KAMA Trend Filter With ATR Stop 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 41 market and timeframe combinations. The best run was USD/JPY, Daily, with a profit factor of 3.91 over 1,935 trades.

How large was the drawdown?

The best run had a maximum drawdown of 281,260 USD at the tested position size, against a net result of 1,285,800 USD.

Does it trade long, short or both?

It only takes long trades.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

EMA 8 21 RSI Filtered Bracket

Best run on the same market, USD/JPY.

1.09 PF · 6,194 trades

Trend Filtered RSI Cross

Also a trend strategy.

3.93 PF · 272 trades

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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.com Stats Docs