KAMA Strategy Analysis

Strategy Number: #185 (185th of 465 strategies)
Strategy Type: Trend Following / Adaptive Moving Average
Timeframe: 5 Minutes (5m)

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I. Strategy Overview

KAMA (Kaufman Adaptive Moving Average) is a quantitative trading strategy based on the Kaufman Adaptive Moving Average. KAMA's uniqueness lies in its ability to automatically adjust smoothing coefficients based on market volatility — following price closely in trending markets while filtering noise in ranging markets.

Core Features

Feature	Description
Entry Condition	KAMA golden cross/slope + optional CCI/RSI confirmation
Exit Condition	KAMA death cross/slope reversal
Protection	Trailing stop + dynamic take-profit
Timeframe	5 Minutes
Dependencies	TA-Lib

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II. Strategy Configuration Analysis

2.1 Basic Risk Parameters

# Optimized parameters (based on 60-day Kraken 20 BTC pairs)
buy_params = {
    'cci-enabled': True,
    'cci-limit': 198,
    'cci-period': 18,
    'kama-long-period': 46,
    'kama-short-period': 11,
    'kama-trigger': 'cross',
    'rsi-enabled': False,
    'rsi-limit': 72,
    'rsi-period': 5
}

sell_params = {
    'sell-cci-enabled': False,
    'sell-cci-limit': -144,
    'sell-cci-period': 18,
    'sell-kama-long-period': 41,
    'sell-kama-short-period': 5,
    'sell-kama-trigger': 'cross',
    'sell-rsi-enabled': False,
    'sell-rsi-limit': 69,
    'sell-rsi-period': 12
}

minimal_roi = {
    "0": 0.11599,
    "18": 0.03112,
    "34": 0.01895,
    "131": 0
}

stoploss = -0.32982

2.2 Trailing Stop

trailing_stop = True
trailing_stop_positive = 0.28596
trailing_stop_positive_offset = 0.29771
trailing_only_offset_is_reached = True

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III. Entry Conditions Details

3.1 Trigger Methods

# Method 1: KAMA Golden Cross (default)
Condition: KAMA short-term > KAMA long-term

# Method 2: KAMA Slope
Condition: KAMA long-term slope > 1

3.2 Auxiliary Conditions (Optional)

# CCI Confirmation
Condition: CCI > 198 (enabled for buy)

# RSI Confirmation
Condition: RSI > 72 (enabled for buy)

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IV. Exit Conditions Details

4.1 Exit Triggers

# KAMA Death Cross
Condition: KAMA short-term < KAMA long-term

# OR Slope Reversal
Condition: KAMA long-term slope < 1

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V. Technical Indicator System

Indicator	Description	Purpose
KAMA	Kaufman Adaptive Moving Average	Trend following, volatility-adaptive
CCI	Commodity Channel Index	Momentum confirmation (optional)
RSI	Relative Strength Index	Overbought/oversold (optional)

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VI. Risk Management

6.1 Take-Profit Strategy (ROI Table)

Time	Minimum Profit
0 minutes	11.6%
18 minutes	3.1%
34 minutes	1.9%
After 131 minutes	0%

6.2 Stop-Loss Strategy

• Hard stop: -32.98%
• Trailing stop: After profit exceeds 29.8%, a 28.6% pullback triggers exit

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VII. Strategy Pros & Cons

✅ Pros

1. Adaptive: KAMA automatically adjusts to market volatility
2. Dual Trigger: Supports both crossover and slope methods
3. Optimized Parameters: Default parameters are backtested and optimized
4. Flexible Configuration: CCI/RSI can be independently toggled on/off

⚠️ Cons

1. Complex: Multiple parameters require tuning
2. Lagging: KAMA itself has some lag
3. Wide Stop-Loss: -33% is a large stop

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VIII. Applicable Scenarios

Market Environment	Performance
Trending Up	⭐⭐⭐⭐⭐
Trending Down	⭐⭐⭐⭐⭐
Ranging Upward	⭐⭐⭐
Sideways Ranging	⭐⭐

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IX. Parameter Optimization

9.1 Key Parameters

Parameter	Default Value	Optimization Suggestion
kama-short-period	11	5-20
kama-long-period	46	20-100
kama-trigger	cross	cross/slope
cci-limit	198	100-300

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X. Live Trading Notes

10.1 Parameter Source

Default parameters are optimized under:

• Platform: Kraken
• Trading Pairs: 20 BTC pairs
• Data: 60 days of historical data
• Optimization Function: SharpeHyperOptLoss

10.2 Usage Suggestions

• It is recommended to use default parameters directly
• If adjustment is needed, validate on paper trading first

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XI. Summary

KAMA is a mature, adaptive trend-following strategy. Its core advantage is that the KAMA indicator automatically adjusts based on market volatility — following price in trending markets while filtering noise in ranging markets. Default parameters are optimized and ready to use. Suitable for medium-to-short-term traders.

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