Adaptive KAMA-Pivot Momentum Pullback

Family: trend_following · Regime: trending · Complexity: medium · Asset classes: Forex, Indices, Crypto · Timeframes: H1, H4, D1

Thesis

Market trends are most tradable when price efficiency is high; by using a MultiKAMA to filter for efficient trends and entering on momentum pullbacks (Stochastic), we capture the meat of a move while using local two-bar price reversals (Pivots) as objective structural invalidation points.

Components

• Indicator Sample (Bar Count Logger) (regime) — Used as a regime filter to ensure the strategy only operates on symbols with sufficient historical depth (e.g., > 2000 bars) to allow the MultiKAMA and Pivot levels to stabilize.
• MultiKAMA (TyphooN) (direction) — Determines the primary trend direction using an adaptive efficiency ratio, filtering out noise in low-efficiency environments.
• Stochastic Oscillator (entry) — Provides the entry trigger through momentum exhaustion within the established KAMA trend.
• CCI / Connectable [Azullian] (exit) — Identifies momentum reversals against the trend to trigger exits before a full trend change occurs.
• Pivot Points Reversal Levels (risk) — Provides dynamic support/resistance levels based on two-bar price action to set objective stop-losses.
• Bollinger Bands (volatility_filter) — Acts as a volatility filter; trades are only permitted when price is outside the middle band but within the outer bands, ensuring movement while avoiding exhausted volatility.

Known failure conditions

• Price repeatedly oscillates around the KAMA line with an Efficiency Ratio near zero (pure noise).
• The Pivot Points Reversal component causes terminal crashes due to O(N^2) complexity on lower timeframes.
• The 2-bar reversal levels are consistently breached by 5+ ATR spikes, indicating the risk levels are too tight for the regime.

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