Adaptive Moving Average Crossover Trend Strategy

Summary

This strategy follows trends by signaling long when the closing price crosses above a selected moving average and closing the long position when price crosses below it. Users can choose SMA, EMA, SMMA/RMA, WMA, or VWMA and adjust the lookback period. The document also describes plotting the average and restricting signals to a chosen backtest date range.

The published example uses BTC-USDT futures with daily bars and hourly base data over a stated historical interval, but provides no performance results. Its source shows that the date filter function always returns true, so the described date-range control is not implemented there. The code also sets position state on crossover and continues to submit entries or closes based on that state. The notes identify lag, whipsaws in sideways markets, parameter sensitivity, and the lack of an explicit stop loss as limitations; additional filters and risk controls are suggestions, not tested improvements.

Key ideas

• Price crossing above or below a configurable moving average generates the strategy’s directional signals.
• The available averages are SMA, EMA, SMMA/RMA, WMA, and VWMA.
• The published example uses BTC-USDT futures data but reports no backtest performance.
• Moving-average lag, sideways-market whipsaws, parameter sensitivity, and absent stop losses are stated risks.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.