Aroon Trend Signals Filtered by a Long-Term EMA

Summary

This BTC futures strategy uses Aroon Up and Aroon Down to identify strengthening or weakening trends, then filters entries with a long-term exponential moving average. Long entries occur when either Aroon Up crosses above 70 or Aroon Down crosses below 30 while the Aroon difference is positive; price must also be above the average. Short entries use the corresponding bearish conditions and require price below the average. Positions close when the relevant Aroon line crosses below 50 while the trend difference remains aligned.

The source includes a backtest configuration for hourly BTC/USD futures data from 2018 to 2021, including a stated fee, but reports no performance metrics. It also defines position size as a percentage of account value subject to a minimum lot. The document offers rules and implementation details rather than evidence that the strategy is profitable. Results may depend on the lookback window, market regime, contract settings, costs, and execution; no risk-adjusted results or comparisons are supplied.

Key ideas

• Aroon Up and Down track how recently the period high and low occurred within a lookback window.
• Entry signals combine Aroon threshold crosses with the sign of the difference between Aroon Up and Down.
• A long-term EMA acts as a price-direction filter for both long and short entries.
• Exit signals use a cross below 50 by the Aroon line associated with the position.
• The stated backtest setup contains no reported performance results.

Tags

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