Adaptive EMA Trading Modes with RSI Regime Detection and ATR Risk Controls
Summary
This strategy switches between trend-following and counter-trend entries according to an RSI-based regime rule. It uses 3- and 8-period EMAs for crossover signals, a 55-period EMA and 5-versus-20-period simple averages to check direction, and RSI distance from 50 to classify the market as trending above a threshold of 0.3. In the trending mode, crossovers must align with the broader direction; in the non-trending mode, crossovers against the trend EMA aim to capture rebounds or pullbacks.
Risk controls use a stop 1.2 ATR away and a target 2 ATR away, with position size calculated from a default 1% account risk and a stated fixed 5x leverage. The rules also require no open position and impose a minimum interval of 72 minutes between trades. The document provides code logic and a detailed discussion of risks, but no backtest period or performance results. It notes that fast averages, fixed leverage, regime misclassification, slippage, and differences between backtests and live execution can undermine results.
Key ideas
- RSI distance from 50 determines whether the strategy uses trend-following or counter-trend entries.
- EMA crossovers are filtered with a trend EMA and short- versus long-period simple averages in trending conditions.
- ATR-based stops and targets are combined with risk-percentage position sizing and fixed leverage.
- Trade spacing and a requirement for no active position limit entry frequency.
- The document gives strategy rules and caveats but does not report performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.