ATR-Adaptive Moving Average Trend Strategy with Layered Filters

Summary

This strategy adapts fast and slow simple moving average lengths to volatility measured by ATR. It combines crossover and price confirmation with optional RSI, engulfing-candle, volume, volatility, time-of-day, and 15-minute trend filters. It also permits additional entries in the trend direction at ATR-based intervals, subject to a configured entry limit.

Risk controls include ATR-based initial and trailing stops, profit targets, a post-exit cooldown, and a minimum holding period. The document describes the rules and suggested parameter examples, but provides no performance results that establish the strategy’s effectiveness. It warns that numerous tunable conditions can overfit, transitions between trending and ranging markets can cause losses, and slippage, liquidity, and trading costs can materially affect results. It recommends walk-forward and out-of-sample evaluation and careful cost assumptions before use.

Key ideas

• ATR changes moving average lengths so the signal responds differently in high- and low-volatility conditions.
• RSI, candle patterns, volume, time, and a higher-timeframe trend can filter entries.
• The system allows staged entries along a trend at ATR-based intervals.
• Initial and trailing stops, targets, cooldowns, and minimum holding periods shape trade risk.
• The document gives no verified performance evidence and highlights overfitting, regime shifts, and execution costs.

Tags

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