A 60-Day Moving-Average Breakout with Year-End Liquidation
Summary
This long-only trend-following strategy enters when price crosses above a 60-day simple moving average and a smoothed measure of the average’s slope is positive. It exits all positions at year-end, using a calendar-based liquidation rule instead of a price-based stop or profit target. The document also describes date-range and trading-day controls, although the published source leaves the date-range check effectively always on and defines the trading-day function as always true.
The material gives entry and exit logic, adjustable moving-average length, and a BTC/USDT futures backtest configuration covering a short span in January 2025. It reports no return, drawdown, or trade statistics, so it offers no empirical support for the stated potential benefits. The source’s year-end logic checks only late-December dates and relies on the simplified trading-day function, which may fail to identify the actual final session. The document notes moving-average lag, whipsaws in sideways markets, and premature exits as key limitations.
Key ideas
- A long position opens when price crosses above the 60-day SMA while its smoothed slope is positive.
- All positions are scheduled to close on the last trading day of the year.
- The provided source simplifies trading-day detection and may not reliably identify year-end sessions.
- The published backtest configuration is brief and includes no performance statistics.
- Moving-average lag and range-bound false breakouts are stated risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.