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JmStrategy Analysis

Strategy Number: #184 (184th of 465 strategies)
Strategy Type: Trend Following / Market Maker Strategy
Timeframe: 5 Minutes (5m)

I. Strategy Overview​

JmStrategy is a multi-indicator trend-following strategy combining KAMA (Kaufman Adaptive Moving Average), CCI, RSI, and MACD. It uses combined signals from multiple indicators to filter false signals and improve trade quality.

Core Features​

FeatureDescription
Entry ConditionKAMA golden cross/slope + CCI + RSI multi-condition combo
Exit ConditionKAMA death cross/slope reversal + CCI/RSI conditions
ProtectionTrailing stop + dynamic take-profit
Timeframe5 Minutes
DependenciesTA-Lib, technical, qtpylib

II. Strategy Configuration Analysis​

2.1 Basic Risk Parameters​

# ROI Exit Table
minimal_roi = {
    "0": 0.11599,
    "18": 0.03112,
    "34": 0.01895,
    "131": 0
}

# Stop-Loss Setting
stoploss = -0.32982  # -32.98%

# Trailing Stop
trailing_stop = True
trailing_stop_positive = 0.28596
trailing_stop_positive_offset = 0.29771
trailing_only_offset_is_reached = True

III. Entry Conditions Details​

3.1 KAMA Crossover/Slope​

# KAMA Crossover Trigger
Condition: KAMA short-term > KAMA long-term

# OR KAMA Slope Trigger
Condition: KAMA long-term slope > 1

3.2 CCI Condition​

# Optional: CCI > threshold (default 198)

3.3 RSI Condition​

# Optional: RSI > threshold (default 72)

IV. Exit Conditions Details​

4.1 Exit Condition Combinations​

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

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

# Optional: RSI below threshold
# Optional: CCI below threshold

V. Technical Indicator System​

IndicatorPurpose
KAMAAdaptive Moving Average, trend confirmation
CCICommodity Channel Index, momentum judgment
RSIRelative Strength Index, overbought/oversold
MACDTrend direction confirmation

VI. Risk Management​

6.1 Take-Profit Strategy​

The strategy uses multi-level ROI exits:

  • 0 minutes: 11.599%
  • 18 minutes: 3.112%
  • 34 minutes: 1.895%
  • After 131 minutes: No requirement

6.2 Trailing Stop​

  • Activation point: 29.571% profit
  • Stop level: 28.596% profit pullback
  • Activated only after activation point is reached

VII. Strategy Pros & Cons​

✅ Pros​

  1. Multi-Indicator Confirmation: Multiple indicators simultaneously verify, improving signal quality
  2. Adaptive: KAMA automatically adapts to market volatility
  3. Trailing Stop: Let profits run

⚠️ Cons​

  1. Complex: Many conditions, difficult to optimize
  2. Lagging: Multi-indicator combinations increase lag
  3. Many Parameters: Requires extensive tuning

VIII. Applicable Scenarios​

Market EnvironmentPerformance
Trending Up⭐⭐⭐⭐⭐
Trending Down⭐⭐⭐⭐⭐
Ranging⭐⭐

IX. Parameter Optimization​

ParameterDescription
KAMA PeriodShort/long-term periods
CCI ThresholdBuy/sell thresholds
RSI PeriodRelative strength period

X. Live Trading Notes​

This strategy's parameters have been optimized (based on 60 days of data). It is recommended to use default parameters directly or fine-tune based on specific trading pairs.

XI. Summary​

JmStrategy is a complex multi-indicator trend strategy combining KAMA, CCI, and RSI. The strategy is optimized, with default parameters performing well, but adjustment is needed for different market environments. Suitable for experienced traders.