ALMA Crossover Strategy with Volume Confirmation and Percentage Exits

Summary

This document describes a directional strategy using a fast and slow Arnaud Legoux Moving Average (ALMA). A crossover of the 60-period and 120-period averages supplies the direction: an upward cross signals a possible long, and a downward cross a possible short. Both signals also require a volume oscillator to be positive, meaning the short-period volume EMA is above the longer-period volume EMA. Long and short entries can be enabled independently.

Positions use percentage-based profit targets and stop levels, set in the listed defaults at 2% and 2.5%, respectively. The stated backtest configuration covers BTC/USDT futures over roughly one year on a four-hour period with 15-minute base data, but no performance statistics are included. The code calculates signals and exits but does not establish that the approach is profitable; conclusions would require testing with realistic fees, fills, and risk controls. The volume condition confirms relative activity, but the document offers no evidence that it improves results or addresses whipsaws and parameter sensitivity.

Key ideas

• A crossover between a shorter and longer ALMA sets the potential long or short direction.
• The entry requires the short-period volume EMA to exceed the long-period volume EMA.
• The listed default profit target is 2%, while the stop is 2.5% from entry.
• Long and short trading can be enabled separately.
• The backtest configuration is provided without performance results or evidence of robustness.

Tags

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