Strategies / Mean reversion / KAMA Trend Pullback Long

KAMA Trend Pullback Long

The system buys 1 contract on a pullback in an uptrend, when price is above a slow adaptive average and RSI and CCI are oversold. It exits when momentum turns positive and price falls below the Parabolic SAR, or at a 100% profit target.

Mean reversionLong onlySwingDow Jones1 hour

1.84Profit factor

16,255Net profit EUR

65.49%Win rate

142Trades

-3,874Max drawdown

114Avg trade

Best run of 28. Dow Jones, 1 hour, spread 3, from run pf:2026-10-05-DOW30-1h.tsv:1.

Entry rules, long

When flat, buy 1 contract at market if OHLC4 (the average of open, high, low and close) is above the 200-period KAMA.
OHLC4 must also be above the Parabolic SAR, which is set with 0.02, 0.02 and 0.2.
The close is below the 5-period KAMA.
The 5-period CCI is below -100.

Exit rules

OHLC4 is also below the Parabolic SAR on the same bar, and the trade closes at market.
A profit target 100% above the entry price closes the trade.
There is no stop loss.

Test conditions

Period	Up to 2026-10-05
Instrument	Dow Jones, 1 hour
Spread	3 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	2026-10-05

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
Dow JonesBest run	1 hour	1.84	142	65.49	16,255 EUR	-3,874
Silver	30 min	1.53	730	52.60	34,788 USD	-7,311
USD/JPY	15 min	n/a	746	58.04	269,430 USD	-141,550
USD/JPY	10 min	n/a	737	57.39	249,880 USD	-156,880
USD/JPY	3 min	n/a	673	55.72	145,870 USD	-68,920
USD/JPY	5 min	n/a	734	57.90	100,140 USD	-95,890
Dow Jones	Daily	n/a	40	87.50	31,234 EUR	-11,142
Silver	4 hours	n/a	95	55.79	22,337 USD	-4,871
Nasdaq 100	Daily	n/a	43	72.09	17,549 EUR	-5,420
DAX 40	Daily	n/a	45	64.44	13,548 EUR	-6,382
Nasdaq 100	4 hours	n/a	139	71.22	11,385 EUR	-3,710
DAX 40	4 hours	n/a	119	62.18	8,818 EUR	-3,750
Nasdaq 100	30 min	n/a	745	53.56	8,018 EUR	-5,532
US Crude Oil	Daily	n/a	28	71.43	7,734 EUR	-3,826
Dow Jones	3 min	n/a	663	58.22	5,681 EUR	-3,206
DAX 40	1 hour	n/a	422	55.21	5,464 EUR	-3,530
Nasdaq 100	5 min	n/a	657	56.77	4,825 EUR	-2,869
DAX 40	15 min	n/a	771	56.68	3,389 EUR	-2,883
Brent Crude	1 min	n/a	654	52.91	2,922 EUR	-1,473
FTSE 100	30 min	n/a	776	56.44	2,838 EUR	-2,577
S&P 500	Daily	n/a	48	77.08	2,708 EUR	-1,518
US Crude Oil	3 min	n/a	630	53.97	2,384 EUR	-2,252
S&P 500	4 hours	n/a	138	65.22	1,929 EUR	-637
S&P 500	15 min	n/a	775	56.65	1,425 EUR	-762
Gold	3 min	n/a	599	56.43	1,168 EUR	-715
Gold	1 hour	n/a	506	56.72	994 EUR	-993
Gold	Daily	n/a	43	46.51	803 EUR	-432
S&P 500	1 min	n/a	637	54.95	613 EUR	-251

Charts

Results by run

Top 10 of 28 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 Pullback Long
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE kamas = 0
ONCE kamal = 0

ohlc = TotalPrice
diff = abs(close - close[1])
fastsc = 2 / 3
slowsc = 2 / 31

61 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

KAMAParabolic SARRSICCI

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

Dow Jones had no history beyond the standard run, so both runs used 37,000 bars.

Dow Jones · 1 hour

Bars available	37,000
Net, standard 200,000-bar run	16,255.40 EUR
Net, long run	16,255.40 EUR
Net on the older data alone	0.00 EUR

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 Pullback Long 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 28 market and timeframe combinations. The best run was Dow Jones, 1 hour, with a profit factor of 1.84 over 142 trades.

How large was the drawdown?

The best run had a maximum drawdown of 3,874 EUR at the tested position size, against a net result of 16,255 EUR.

Does it trade long, short or both?

It only takes long trades.

Trend Surfer

Uses the same indicator.

1.04 PF · 10,813 trades

Turtle Trade

Best run on the same market, Dow Jones.

2.42 PF · 6,324 trades

MACD Exhaustion Reversal (long and short)

Also a mean reversion strategy.

1.84 PF · 70 trades

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.com Stats Docs

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