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KAMA adaptive moving average

Some simple strategy based on KAMA (Kaufman adaptive moving average), which adapts to ER (efficiency ratio - signal/noise ratio).

Original had some sort of volatility filter (commented out) and some other things I didn't done here like Stop order based on ATR.

Parameters to be optimised, _period = 100 is best from original futures strategy.
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Very cool! This looks like a great disaster filter, but by the end of September the market's bottoming out... your choice to use fixed stop loss to exit + improved Kama is good choice. None of my tweaks come out better :)
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Interesting :) Hadn't gave a glance to StDev.

Fixed SL not done right here, should be on higher frequency (or Stop order), it does not react to intraday changes, don't know if it's useful anyway :)
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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