Andean Oscillator Trend Strategy with EMA Envelopes

Summary

This trend-following strategy implements an Andean oscillator using recursive EMA envelope calculations based on open and close prices. It derives bullish and bearish components from the envelopes and their squared-price counterparts, then plots those components with an EMA signal line. With the default settings of 50 for the calculation length and 9 for signal length, it enters long whenever the bullish component exceeds the bearish component and short when the reverse is true. The strategy allows one position at a time and uses the full account equity for each trade.

The document provides BTC/USDT Binance futures backtest settings spanning February to November 2024, but no performance statistics. It describes adaptability and reduced false signals as benefits without presenting evidence to support them. Risks include lag during sharp reversals and sensitivity to market conditions and sizing; proposed additions include volatility and volume filters and dynamic position sizing. The code is presented as a simple demonstration, so its rules do not establish profitability or robust risk control.

Key ideas

• The oscillator calculates bullish and bearish components from recursive EMA envelopes built with open and close prices.
• It enters long when bullish strength exceeds bearish strength and short when bearish strength is greater.
• The default calculation and signal lengths are 50 and 9, respectively.
• The example uses one position at a time and allocates 100% of equity per trade.
• Backtest settings are given without performance results, and the document recommends testing filters and sizing changes.

Tags

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