Adaptive EMA Trend Bands with SMA and MACD Signal Filters
Summary
This strategy estimates trend with fast and slow exponential averages of typical price, then forms adaptive upper and lower bands using smoothed price variability and a sensitivity parameter. A trend-state rule changes direction when price crosses the opposing band. Long entries additionally require price to satisfy an SMA filter and the MACD line to exceed its signal line. The example closes the long position when the trend turns down; its short signal does not establish a short position in the supplied strategy logic.
Position quantity is calculated from account equity, price, and a leverage factor, and alerts can relay entry and closing actions. The published settings describe a BTC/USDT futures test on 45-minute bars for one week, but provide no performance evidence. The document notes that layered filters may delay entries, trend changes can be unreliable in choppy markets, and leverage can magnify losses. Its suggested ATR stop, market-state classification, and signal scoring are future improvements rather than implemented or validated features.
Key ideas
- Fast and slow EMAs define a trend baseline, with volatility-based bands that adapt around it.
- A trend reversal occurs when price crosses the band opposite the current trend state.
- Long entries require trend confirmation plus optional SMA and MACD filters.
- The example sizes long orders using account equity, price, and a leverage factor, and closes longs when the trend turns down.
- The stated short signal only closes a long in the supplied strategy, and the brief backtest setup reports no results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.