Futures Trading System Labs: 2007

Like last month’s Futures Trading System Lab ("ADX Consolidation Breakout 1," Futures & Options Trader, May 2007), this system focuses on trading the least interesting type of the market activity — the trading range. It does this by executing short-term trades with a price pattern after a combination of indicators has identified suitable range-bound price action.

Kaufman’s Adaptive Moving Average (KAMA) is a dynamic indicator developed by Perry Kaufman and described in his books New Trading Systems and Methods (Wiley, 2005).