ALMA Crossovers Filtered by MACD Histogram Direction

Summary

This crypto swing strategy combines crossovers between fast and slow Arnaud Legoux moving averages (ALMAs) with a MACD histogram filter. The stated defaults use ALMA lengths of 20 and 40, with an offset of 0.9 and sigma of 5. A bullish crossover is accepted when the histogram is rising; a bearish crossover requires it to be falling. The document describes long and short entries, along with separately configured profit and loss distances for each side.

The stated test context is BNB/USDT from 2017 onward with a 0.03% commission, although the published backtest settings instead specify BTC/USDT over a one-month period in 2023. No performance figures or supporting results are provided, so claims of robustness across market cycles cannot be evaluated from the material. The document notes crossover lag, missing signals when the histogram is flat, and the limits of fixed exit settings; it suggests tuning parameters and adding filters such as volume.

Key ideas

• ALMA fast and slow line crossovers define the directional entry signals.
• The MACD histogram's direction filters crossover signals.
• The strategy specifies distinct profit and stop distances for long and short trades.
• The document's narrative test description conflicts with its published backtest configuration.
• Parameter sensitivity, crossover lag, and fixed exits limit how broadly the approach can be relied upon.

Tags

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