Adaptive Moving Average Crossovers with Volatility Filters and ATR Stops
Summary
The strategy uses crossovers between configurable fast and slow moving averages to generate entries. A longer moving average can filter trades by broad trend, while ATR and volume filters can screen out low-volatility conditions and weak participation. The document describes several MA choices and presents the approach as adjustable from short-term trading to longer trend following.
Risk controls include an ATR-based initial stop, an optional ATR trailing stop, an optional move to break-even, and two profit targets that can scale out of a position. Position size is a fixed quantity. The document explains these components but provides no backtest results or evidence that the filters improve returns. It cautions that parameter tuning can overfit, trading costs and slippage can erode results, crossover signals may fail in choppy or volatile markets, and API execution can be affected by delays or failures. Fixed sizing may also fit some account sizes poorly.
Key ideas
- Fast and slow moving average crossovers provide the primary entry signals.
- A longer moving average, ATR, and volume can act as optional trade filters.
- ATR-based initial and trailing stops, break-even rules, and two profit targets define the exits.
- Fixed-quantity sizing simplifies position control but may not suit every account.
- The document gives no performance results and highlights overfitting, costs, and execution risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.